We propose the notion of weighted g-expectation ε~λ_g[·]based on g-expectation. We prove that if the generator g is non-increasing with respect to y and positive-homogeneous with respect to( y,z),the moment inequality for weighted g-expectation holds in general. When λ≥1/2and the generator g is independent of y,we establish Jensen's inequality for weighted g-expectation when g is super-homogeneous with respect to z,and we establish the law of large numbers for weighted g-expectation when g is sublinear with...
【基金】
国家自然科学基金资助项目(11371362)
【更新日期】
2016-08-19
【分类号】
O211.4
【正文快照】
网络出版地址:http://www.cnki.net/kcms/detail/37.1389.N.20160725.1444.002.htmlJIANG Long,CHEN M in(College of Sciences,China University of Mining and Technology,Xuzhou 221116,Jiangsu,China)0引言1990年,Pardoux-Peng[1]首次研究如下形式的非线性倒向随机微分方程
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