Volume 85, Number 6, 572-580, DOI: 10.1007/s00013-005-1440-9

On Jensen’s inequality for g-expectation and for nonlinear expectation

Ying Hu

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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.

Mathematics Subject Classification (2000).  60H10

Received: 18 January 2005

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