Jensen's inequality for <i>g</i>-expectation, Part 2

Zengjing Chen; Reg Kulperger; Long Jiang

doi:10.1016/j.crma.2003.09.037

Probability Theory/Statistics

Jensen's inequality for g-expectation, Part 2

Presented by: Paul Deheuvels

Zengjing Chen ¹; Reg Kulperger ²; Long Jiang ¹

¹Department of Mathematics, Shandong University, Jinan, 250100, China
²Department of Statistical and Actuarial Science, The University of Western Ontario, London, Ontario, Canada

Comptes Rendus. Mathématique, Volume 337 (2003) no. 12, pp. 797-800

Abstract (Original language)
Résumé

Chen et al. (C. R. Acad. Sci. Paris, Ser. I 337 (11) (2003)) studied a Jensen's inequality for g-expectation under the assumption that g does not depend on (t,y). In this Note we consider some applications of this inequality.

Chen et al. (C. R. Acad. Sci. Paris, Ser. I 337 (11) (2003)) a étudié l'inégalité de Jensen pour la g-espérance sous la prétention que g n'est pas fonction de (t,y). Comme suite a cette étude, nous considérons les applications de l'inégalité de Jensen dans cet article.

Received: 2003-04-20
Accepted: 2003-09-17
Published online: 2003-11-14

DOI: 10.1016/j.crma.2003.09.037

Author's affiliations:

Zengjing Chen ¹ ; Reg Kulperger ² ; Long Jiang ¹

¹ Department of Mathematics, Shandong University, Jinan, 250100, China
² Department of Statistical and Actuarial Science, The University of Western Ontario, London, Ontario, Canada

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     author = {Zengjing Chen and Reg Kulperger and Long Jiang},
     title = {Jensen's inequality for \protect\emph{g}-expectation, {Part} 2},
     journal = {Comptes Rendus. Math\'ematique},
     pages = {797--800},
     year = {2003},
     publisher = {Elsevier},
     volume = {337},
     number = {12},
     doi = {10.1016/j.crma.2003.09.037},
     language = {en},
}

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Zengjing Chen; Reg Kulperger; Long Jiang. Jensen's inequality for g-expectation, Part 2. Comptes Rendus. Mathématique, Volume 337 (2003) no. 12, pp. 797-800. doi: 10.1016/j.crma.2003.09.037

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