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Quadratic g-convexity, C-convexity and their relationships

In this paper we study Jensen’s inequality under quadratic g-expectation, i.e., the expectation generated by backward stochastic differential equations (BSDEs) with generator of quadratic growth in its component z. In particular, we define a new kind of convexity, the C-convexity, via a second order ODE depending on a real constant C, and we study the relationships between quadratic g-convexity and C-convexity.
Year of publication:
2015
Authors: Jia, Guangyan ; Zhang, Na
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 125.2015, 6, p. 2272-2294
Publisher: Elsevier
Subject: Backward stochastic differential equations | Generator of quadratic growth | Representation theorem | Quadratic g-convexity | C-convexity
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10011209783
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