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Jensen inequality for superlinear expectations

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  • Lin, Qian

Abstract

In this note, we investigate Jensen inequality for superlinear expectations and its application in economics. Superlinear expectations are defined via G-expectations.

Suggested Citation

  • Lin, Qian, 2019. "Jensen inequality for superlinear expectations," Statistics & Probability Letters, Elsevier, vol. 151(C), pages 79-83.
    • Handle: RePEc:eee:stapro:v:151:y:2019:i:c:p:79-83
    DOI: 10.1016/j.spl.2019.03.006
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    References listed on IDEAS

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    1. Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous Volatility and Asset Pricing in Continuous Time," The Review of Financial Studies, Society for Financial Studies, vol. 26(7), pages 1740-1786.
    2. Karandikar, Rajeeva L., 1995. "On pathwise stochastic integration," Stochastic Processes and their Applications, Elsevier, vol. 57(1), pages 11-18, May.
    3. Peng, Shige, 2008. "Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2223-2253, December.
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    Cited by:

    1. Asfand Fahad & Saad Ihsaan Butt & Josip Pečarić & Marjan Praljak, 2023. "Generalized Taylor’s Formula and Steffensen’s Inequality," Mathematics, MDPI, vol. 11(16), pages 1-8, August.
    2. Shanhe Wu & Muhammad Adil Khan & Tareq Saeed & Zaid Mohammed Mohammed Mahdi Sayed, 2022. "A Refined Jensen Inequality Connected to an Arbitrary Positive Finite Sequence," Mathematics, MDPI, vol. 10(24), pages 1-10, December.
    3. Hidayat Ullah & Muhammad Adil Khan & Tareq Saeed, 2021. "Determination of Bounds for the Jensen Gap and Its Applications," Mathematics, MDPI, vol. 9(23), pages 1-29, December.

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