TITLE:
Jensen Inequality of Bivariate Function in the G-Expectation Framework
AUTHORS:
Liyang Feng
KEYWORDS:
Bivariate Function, Jensen Inequality, G-Expectation, G-Browian Motion
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.10 No.1,
December
20,
2019
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.