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Jensen's inequality for [formula omitted]-expectations in general filtration spaces.
- Source :
-
Statistics & Probability Letters . Feb2021, Vol. 169, pN.PAG-N.PAG. 1p. - Publication Year :
- 2021
-
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. [ABSTRACT FROM AUTHOR]
- Subjects :
- *JENSEN'S inequality
*FILTERS & filtration
*STOCHASTIC differential equations
Subjects
Details
- Language :
- English
- ISSN :
- 01677152
- Volume :
- 169
- Database :
- Academic Search Index
- Journal :
- Statistics & Probability Letters
- Publication Type :
- Periodical
- Accession number :
- 147341935
- Full Text :
- https://doi.org/10.1016/j.spl.2020.108958