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

Wenjie Song, Panyu Wu and Guodong Zhang

Statistics & Probability Letters, 2021, vol. 169, issue C

Abstract: In this paper, we investigate the properties of BSDEs in general filtration spaces based on the transposition solutions. We obtain a result that Jensen’s inequality holds under the g-expectation and conditional g-expectation in general filtration spaces if and only if g is independent of y and super-homogeneous in z.

Keywords: Jensen’s inequality; g-expectation; Filtration; Backward stochastic differential equation (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715220302613
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:169:y:2021:i:c:s0167715220302613

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2020.108958

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().