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.
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@article{CRMATH_2003__337_12_797_0, author = {Chen, Zengjing and Kulperger, Reg and Jiang, Long}, 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}, url = {http://archive.numdam.org/articles/10.1016/j.crma.2003.09.037/} }
TY - JOUR AU - Chen, Zengjing AU - Kulperger, Reg AU - Jiang, Long 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 UR - http://archive.numdam.org/articles/10.1016/j.crma.2003.09.037/ DO - 10.1016/j.crma.2003.09.037 LA - en ID - CRMATH_2003__337_12_797_0 ER -
%0 Journal Article %A Chen, Zengjing %A Kulperger, Reg %A Jiang, Long %T Jensen's inequality for g-expectation, Part 2 %J Comptes Rendus. Mathématique %D 2003 %P 797-800 %V 337 %N 12 %I Elsevier %U http://archive.numdam.org/articles/10.1016/j.crma.2003.09.037/ %R 10.1016/j.crma.2003.09.037 %G en %F CRMATH_2003__337_12_797_0
Chen, Zengjing; Kulperger, Reg; Jiang, Long. 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. http://archive.numdam.org/articles/10.1016/j.crma.2003.09.037/
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