Jensen’s Inequality Under Nonlinear Expectation Generated by BSDE with Jumps

论文摘要

In this paper, we study Jensen’s inequality under f-expectation, which is a nonlinear expectation generated by backward stochastic differential equations（BSDEs） with jumps. We connect f-convex functions with the viscosity solutions of a kind of integral partial differential equations（IPDEs） with non-local terms.And find that under Lipschitz condition, the f-convex function is still convex in the usual sense, i.e., the jumps shrink the range of ‘convex’ functions.

论文目录

文章来源

类型: 期刊论文

作者: Na ZHANG,Guang-yan JIA

来源: Acta Mathematicae Applicatae Sinica 2019年04期

年度: 2019

分类: 基础科学

专业: 数学

单位: School of Science, Tianjin University of Technology,Zhongtai Securities Institute for Financial Studies, Shandong University

基金: Supported by the National Natural Science Foundation of China(No.11171186,11601387,11601386),National Key R&D Program of China(No.2018YFA0703900)

分类号: O178;O211.63

页码: 873-884

总页数: 12

文件大小: 262K

下载量: 12

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