摘要
给出了当倒向随机微分方程的生成元满足次可加性和正齐次性时,由倒向随机微分方程定义的g-期望的Ho¨lder不等式.
Hoelder's inequality of g-expectation is obtained when the generator of corresponding backward stochastic differential equation is subadditive and positive homogeneous.
出处
《山东大学学报(理学版)》
CAS
CSCD
北大核心
2006年第4期28-31,共4页
Journal of Shandong University(Natural Science)
关键词
倒向随机微分方程
G-期望
条件G-期望
比较定理
backward stochastic differential equation
g-expectation
conditional g-expectation
comparison theorem