On Jensen’s inequality and Hölder’s inequality for g-expectation
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics
Link
http://link.springer.com/content/pdf/10.1007/s00013-010-0117-1.pdf
Reference15 articles.
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3. Z. Chen, R. Kulperber, and L. Jiang, Jensen’s inequality for g-expectation: Part 1 and Part 2, C. R. Acad. Sci. Paris Sér. I Math. 337 (2003), 725–730 and 797–800.
4. Coquet F. et al.: Filtration-consistent nonlinear expectations and related g-expectations. Prob. Theory Related Fields 123, 1–27 (2002)
5. El Karoui N., Peng S., Quenez M.C.: Backward stochastic differential equations in finance. Math. Finance 7, 1–71 (1997)
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2. The application of multi-dimensional Jensen’s inequality for G-martingale;Stochastic Analysis and Applications;2019-04-07
3. On Jensen’s inequality, Hölder’s inequality, and Minkowski’s inequality for dynamically consistent nonlinear evaluations;Journal of Inequalities and Applications;2015-05-07
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