Jensen′s Inequality for Generalized Peng′s g‐Expectations and Its Applications

Zhaojun Zong

Abstract and Applied Analysis, 2013, vol. 2013, issue 1

Abstract: We study Jensen′s inequality for generalized Peng′s g‐expectations and give four equivalent conditions on Jensen′s inequality for generalized Peng′s g‐expectations without the assumption that the generator g is continuous with respect to t. This result includes and extends some existing results. Furthermore, we give some applications of Jensen′s inequality for generalized Peng′s g‐expectations.

Date: 2013
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https://doi.org/10.1155/2013/683047

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlaaa:v:2013:y:2013:i:1:n:683047

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