Abstract.
In this paper, we give a necessary and sufficient condition for g under which Jensen’s inequality holds for g-expectation. In particular, we show that if Jensen’s inequality holds for g-expectation, then g is independent of y and g is superhomogeneous. We also establish a necessary and sufficient condition under which Jensen’s inequality holds for a general filtration-consistent nonlinear expectation.
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Received: 18 January 2005
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Hu, Y. On Jensen’s inequality for g-expectation and for nonlinear expectation. Arch. Math. 85, 572–580 (2005). https://doi.org/10.1007/s00013-005-1440-9
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DOI: https://doi.org/10.1007/s00013-005-1440-9