Comptes Rendus
no. 12
Probability Theory/Statistics
Jensen's inequality for g-expectation, Part 2
[L'inégalité de Jensen pour la g-espérance, 2ème partie]

Présenté par : Paul Deheuvels

Zengjing Chen1 ; Reg Kulperger2 ; Long Jiang1
1 Department of Mathematics, Shandong University, Jinan, 250100, China
2 Department of Statistical and Actuarial Science, The University of Western Ontario, London, Ontario, Canada
Comptes Rendus. Mathématique, Volume 337 (2003) no. 12, pp. 797-800.

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.

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.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2003.09.037
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 
@article{CRMATH_2003__337_12_797_0,
     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},
     publisher = {Elsevier},
     volume = {337},
     number = {12},
     year = {2003},
     doi = {10.1016/j.crma.2003.09.037},
     language = {en},
}
TY  - JOUR
AU  - Zengjing Chen
AU  - Reg Kulperger
AU  - Long Jiang
TI  - Jensen's inequality for g-expectation, Part 2
JO  - Comptes Rendus. Mathématique
PY  - 2003
SP  - 797
EP  - 800
VL  - 337
IS  - 12
PB  - Elsevier
DO  - 10.1016/j.crma.2003.09.037
LA  - en
ID  - CRMATH_2003__337_12_797_0
ER  - 
%0 Journal Article
%A Zengjing Chen
%A Reg Kulperger
%A Long Jiang
%T Jensen's inequality for g-expectation, Part 2
%J Comptes Rendus. Mathématique
%D 2003
%P 797-800
%V 337
%N 12
%I Elsevier
%R 10.1016/j.crma.2003.09.037
%G en
%F CRMATH_2003__337_12_797_0
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. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2003.09.037/

[1] C. Aliprantis; K. Boder Infinite Dimensional Analysis, Springer-Verlag, Berlin, 1994

[2] P. Briand; F. Coquet; Y. Hu; J. Mémin; S. Peng A converse comparison theorem for BSDEs and related properties of g-expectation, Electron. Comm. Probab., Volume 5 (2000), pp. 101-117

[3] Z. Chen; R. Kulperger; L. Jiang Jensen's inequality for g-expectation, Part I, C. R. Acad. Sci. Paris, Ser. I, Volume 337 (2003) no. 11 (in press)

[4] N. El Karoui; M.C. Quenez Dynamic programming and pricing of contingent claim in an incomplete market, SIAM J. Control Optim., Volume 33 (1995), pp. 29-66

[5] S. Peng Backward stochastic differential equations and related g-expectation (N. El Karoui; L. Mazliak, eds.), Backward Stochastic Differential Equations, Pitman Res. Notes Math. Ser., 364, 1997, pp. 141-159

[6] D. Revuz; M. Yor Continuous Martingales and Brownian Motion, Springer-Verlag, Berlin, 1999

Cité par Sources :

Commentaires - Politique

Ces articles pourraient vous intéresser

Jensen's inequality for g-expectation: part 1

Zengjing Chen; Reg Kulperger; Long Jiang

C. R. Math (2003)