ON JENSEN'S INEQUALITY FOR g-EXPECTATION
ON JENSEN'S INEQUALITY FOR g-EXPECTATION
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DOI：
10.1142/s0252959904000378
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发表时间：
2004-07
期刊：
影响因子：
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通讯作者：
Long Jiang;Zengjing Chen
中科院分区：
文献类型：
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作者：
Long Jiang;Zengjing Chen
Briand等人给出了一个反例，证明了给定g，g-期望的詹森不等式通常不成立。本文证明了g-期望的詹森不等式一般成立当且仅当生成元g（t，z）在z上是超齐次的.特别地，g在z上不一定是凸的。
Briand et al. gave a counterexample showing that given g, Jensen's inequality for g-expectation usually does not hold in general. This paper proves that Jensen's inequality for g-expectation holds in general if and only if the generator g(t, z) is super-homogeneous in z. In particular, g is not necessarily convex in z.