Jensen's Inequality for g-Convex Function under g-Expectation
| dc.creator | Jia, Guangyan | |
| dc.creator | Peng, Shige | |
| dc.date | 2008-02-04 | |
| dc.date.accessioned | 2026-07-07T09:18:33Z | |
| dc.date.available | 2026-07-07T09:18:33Z | |
| dc.description | A real valued function defined on}$\mathbb{R}$ {\small is called}$g${\small --convex if it satisfies the following \textquotedblleft generalized Jensen's inequality\textquotedblright under a given}$g${\small -expectation, i.e., }$h(\mathbb{E}^{g}[X])\leq \mathbb{E}% ^{g}[h(X)]${\small, for all random variables}$X$ {\small such that both sides of the inequality are meaningful. In this paper we will give a necessary and sufficient conditions for a }$C^{2}${\small -function being}$% g ${\small -convex. We also studied some more general situations. We also studied}$g${\small -concave and}$g${\small -affine functions. | |
| dc.description | 21 pages | |
| dc.identifier | https://arxiv.org/abs/0802.0373 | |
| dc.identifier | http://arxiv.org/abs/0802.0373 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/154065 | |
| dc.subject | Probability | |
| dc.subject | 60H10 | |
| dc.title | Jensen's Inequality for g-Convex Function under g-Expectation | |
| dc.type | text |