no. 11
Probability Theory/Statistics
Jensen's inequality for g-expectation: part 1
[L'inégalité de Jensen pour la g-espérance]

Présenté par : Paul Deheuvels

Chen, Zengjing1 ; Kulperger, Reg2 ; Jiang, Long1
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, Tome 337 (2003) no. 11, pp. 725-730.

Briand et al. (Electron. Comm. Probab. 5 (2000) 101–117) ont donné un contre-exemple et une proposition qui démontrent que donné g, les g-espérances ne satisfont pas l'inégalité de Jensen pour la majorité des fonctions convexes. Ceci mène donc de façon naturelle à la question : sous quelles conditions sur g les g-espérances satisfont l'inégalité de Jensen pour les fonctions convexes ? Dans cet article, nous obtenons une solution pour un g convexe et donnons une condition nécessaire et suffisante sur g sous laquelle l'inégalité de Jensen est satisfaite pour tout les fonctions convexes.

Briand et al. (Electron. Comm. Probab. 5 (2000) 101–117) gave a counterexample and proposition to show that given g,g-expectations usually do not satisfy Jensen's inequality for most of convex functions. This yields a natural question, under which conditions on g, do g-expectations satisfy Jensen's inequality for convex functions? In this paper, we shall deal with this question in the case that g is convex and give a necessary and sufficient condition on g under which Jensen's inequality holds for convex functions.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2003.09.017
Chen, Zengjing 1 ; Kulperger, Reg 2 ; Jiang, Long 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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Chen, Zengjing; Kulperger, Reg; Jiang, Long. Jensen's inequality for g-expectation: part 1. Comptes Rendus. Mathématique, Tome 337 (2003) no. 11, pp. 725-730. doi : 10.1016/j.crma.2003.09.017. http://archive.numdam.org/articles/10.1016/j.crma.2003.09.017/

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[3] Pardoux, E.; Peng, S. Adapted solution of a backward stochastic differential equation, Systems Control Lett., Volume 14 (1990), pp. 55-61

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

[5] Peng, S. A generalized dynamic programming principle and Hamilton–Jacobi–Bellman equation, Stochastics, Volume 38 (1992) no. 2, pp. 119-134

[6] Yosida, K. Functional Analysis, Springer-Verlag, Beijing, 1999

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