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Jensen Inequality of Bivariate Function in the G-Expectation Framework
University of Shanghai for Science and Technology, Shanghai, China
- 1 University of Shanghai for Science and Technology, Shanghai, China
Journal of Mathematical Finance·Volume 10 (2019)·Pages 35–41·Published 12 December 2019·DOI10.4236/jmf.2020.101004
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Abstract
In the G-expectation framework, Wang [1] first obtained the Jensen inequality of one-dimensional function. In this paper, under some stronger conditions, we obtain the Jensen inequality of bivariate function based on Wang’s proof method. And we give some examples to illustrate the application of Jensen inequality of bivariate function.
KeywordsBivariate FunctionJensen InequalityG-ExpectationG-Browian Motion
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