Jensen's Inequality for Generalized Peng's g-Expectations and Its Applications

الملخص EN

We study Jensen's inequality for generalized Peng's g-expectations and give four equivalent conditions on Jensen's inequality for generalized Peng's g-expectations without the assumption that the generator g is continuous with respect to t.

This result includes and extends some existing results.

Furthermore, we give some applications of Jensen's inequality for generalized Peng's g-expectations.