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