Jia, Guangyan; Zhang, Na - In: Stochastic Processes and their Applications 125 (2015) 6, pp. 2272-2294
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...