摘要
Under the Lipschitz assumption and square integrable assumption on g, Jiang proved that Jensen＇s inequality for BSDEs with generator g holds in general if and only if g is independent of y, g is super homogenous in z and g（t, 0） = 0, a.s., a.e.. In this paper, based on Jiang＇s results, under the same assumptions as Jiang＇s, we investigate the necessary and sufficient condition on g under which Jensen＇s inequality for BSDEs with generator g holds for some specific convex functions, which generalizes some known results on Jensen＇s inequality for BSDEs.
Under the Lipschitz assumption and square integrable assumption on g, Jiang proved that Jensen＇s inequality for BSDEs with generator g holds in general if and only if g is independent of y, g is super homogenous in z and g（t, 0） = 0, a.s., a.e.. In this paper, based on Jiang＇s results, under the same assumptions as Jiang＇s, we investigate the necessary and sufficient condition on g under which Jensen＇s inequality for BSDEs with generator g holds for some specific convex functions, which generalizes some known results on Jensen＇s inequality for BSDEs.
基金
Supported by National Natural Science Foundation of China (Grant No.10671205)
Youth Foundation of CUMT (Grant Nos.2006A041 and 2007A029)
