Jensen’s inequality for g-expectations in general filtration spaces-Reference-Cited by-同舟云学术

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Jensen’s inequality for g-expectations in general filtration spaces

Published:2021-02 Issue: Volume:169 Page:108958
ISSN:0167-7152
Container-title:Statistics & Probability Letters
language:en
Short-container-title:Statistics & Probability Letters

Author:

Song Wenjie,Wu Panyu,Zhang Guodong

Funder

National Key R&D Program of China

National Natural Science Foundation of China

Shandong University

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference13 articles.

1. A converse comparison theorem for BSDEs and related properties of g-expectation;Briand;Electron. Commun. Probab.,2000

2. Ambiguity, risk, and asset returns in continuous time;Chen;Econometrica,2002

3. Jensen’s inequality for g-expectation: part 1;Chen;C. R. Math.,2003

4. Jensen’s inequality for g-expectation, Part 2;Chen;C. R. Math.,2003

5. Backward stochastic differential equations in finance;El Karoui;Math. Finance,1997

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