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...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.展开更多
基金Project supported by the National Natural Science Foundation of China (No.10131030)
文摘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.
