Under the Lipschitz assumption and square integrable assumption on g, the author proves that Jensen＇s inequality holds for backward stochastic differential equations with generator g if and only if g is independent o...Under the Lipschitz assumption and square integrable assumption on g, the author proves that Jensen＇s inequality holds for backward stochastic differential equations with generator g if and only if g is independent of y, g（t, 0）≡ 0 and g is super homogeneous with respect to z. This result generalizes the known results on Jensen＇s inequality for gexpectation in [4, 7-9].展开更多
基金Project supported by the National Natural Science Foundation of China (No.10325101)the Science Foundation of China University of Mining and Technology.
文摘Under the Lipschitz assumption and square integrable assumption on g, the author proves that Jensen＇s inequality holds for backward stochastic differential equations with generator g if and only if g is independent of y, g（t, 0）≡ 0 and g is super homogeneous with respect to z. This result generalizes the known results on Jensen＇s inequality for gexpectation in [4, 7-9].
