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Article Dans Une Revue Arkiv der Mathematik Année : 2005

On Jensen's inequality for g-expectation and for nonlinear expectation

Ying Hu
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Résumé

In this paper, we give a necessary and sufficient condition for g under which Jensen's inequality holds for g-expectation. In particular, we show that if Jensen's inequality holds for g-expectation, then g is independent of y and g is superhomogeneous. We also establish a necessary and sufficient condition under which Jensen's inequality holds for a general filtration-consistent nonlinear expectation.

Dates et versions

hal-00725270 , version 1 (24-08-2012)

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Ying Hu. On Jensen's inequality for g-expectation and for nonlinear expectation. Arkiv der Mathematik, 2005, 85 (6), pp.572-580. ⟨10.1007/s00013-005-1440-9⟩. ⟨hal-00725270⟩
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