The G-convex Functions Based on the Nonlinear Expectations Defined by G-BSDEs
Probability
2015-11-26 v1
Abstract
In this paper, generalizing the definition of G-convex functions defined by Peng [9] during the construction of G-expectations and related properties, we define a group of G-convex functions based on the Backward Stochastic Differential Equations driven by G- Brownian motions.
Keywords
Cite
@article{arxiv.1511.08015,
title = {The G-convex Functions Based on the Nonlinear Expectations Defined by G-BSDEs},
author = {Kun He},
journal= {arXiv preprint arXiv:1511.08015},
year = {2015}
}
Comments
11 pages. arXiv admin note: text overlap with arXiv:1306.1929 by other authors