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g-期望关于多元函数的Jensen不等式的必要条件 被引量：2

The Necessary Condition of Jensen′s Inequality for g-expectation on Multivariate Function
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摘要 基于g-期望的Jensen不等式能否成立关系到由g-期望定义的不确定条件下的效用函数能否描述不确定厌恶或不确定偏爱,采用构造法给出了若二元函数f:R×R→R基于g-期望的Jensen不等式成立的必要条件,即其生成元g具有超齐次性和反次可加性。 The holding of Jensen＇s Inequality for g-expectation plays an important role to utility function describing uncertainty. This article proves that if Jensen＇s Inequality for g-expectation on multivariate function holds, the generator g satisfies super-homogenous nature and inverse additivity.
作者 孙秋霞
机构地区 山东科技大学理学院
出处 《山东科技大学学报（自然科学版）》 CAS 2007年第2期109-111,共3页 Journal of Shandong University of Science and Technology(Natural Science)
关键词 倒向随机微分方程 G-期望 JENSEN不等式 超齐次性 反次可加性 BSDE g-expectation Jensen＇s Inequality super homogenous nature inverse additivity
分类号 O29 [理学—应用数学]
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参考文献5

二级参考文献17

  • 1JIANG LONG,CHEN ZENGJING School of Mathematics and System Sciences, Shandong University, Jinan 250100, China. Department of Mathematics, China University of Mining and Technology, Xuzhou 221008, Jiangsu,China. E-mail: jianglong@math.sdu.edu.cn School of Mathematics and System Sciences, Shandong University, Jinan 250100, China..ON JENSEN'S INEQUALITY FOR g-EXPECTATION[J].Chinese Annals of Mathematics,Series B,2004,25(3):401-412. 被引量：26
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共引文献9

同被引文献10

  • 1JIANG LONG,CHEN ZENGJING School of Mathematics and System Sciences, Shandong University, Jinan 250100, China. Department of Mathematics, China University of Mining and Technology, Xuzhou 221008, Jiangsu,China. E-mail: jianglong@math.sdu.edu.cn School of Mathematics and System Sciences, Shandong University, Jinan 250100, China..ON JENSEN'S INEQUALITY FOR g-EXPECTATION[J].Chinese Annals of Mathematics,Series B,2004,25(3):401-412. 被引量：26
  • 2范胜君.g-期望关于凸(凹)函数的Jensen不等式[J].数学年刊（A辑）,2006,27(5):635-644. 被引量：3
  • 3徐玉红,刘玉春,高杰.基于g期望的二元Jensen不等式[J].黑龙江科技学院学报,2007,17(3):224-226. 被引量：2
  • 4CHEN Z J, PENG S G. Continuous properties of g-martingales[J]. Chin. Ann. of math, 2001,22(2) : 115-128.
  • 5PENG S G. Forward-backward stochastic differential equations[J]. Probability Theory and Related Fields, 1995,103 (3) 273-283.
  • 6PARDOUX E,PENG S G. Adapted solution of BSDE[J]. Systems and Control Letters,1990,14(1) :55-61.
  • 7PENG S G. BSDE and related g-expectation[J]. Pitman Research Notes in Mathematics Series, 1996,364(2):141-160.
  • 8BRIAND P,COQUET F, HU Y J,et al. A converse comparison theorem for BSDES and related properties of g-expectation [J]. Electonic Communications in Probability, 2000,13 (5) : 101-117.
  • 9陈增敬.一般的非线性数学期望──g-期望[J].数学进展,1999,28(2):175-180. 被引量：13
  • 10江龙.基于g-期望的关于二元函数的Jensen不等式[J].山东大学学报（理学版）,2003,38(5):13-17. 被引量：9

引证文献2

山东科技大学学报（自然科学版）
2007年 第2期

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