Jensen inequality for superlinear expectations

Qian Lin

Statistics & Probability Letters, 2019, vol. 151, issue C, 79-83

Abstract: In this note, we investigate Jensen inequality for superlinear expectations and its application in economics. Superlinear expectations are defined via G-expectations.

Keywords: G-expectation; Jensen inequality; Superlinear expectations (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2019.03.006

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