次线性期望的Jensen不等式

J4 ›› 2011, Vol. 46 ›› Issue (3): 109-111.

次线性期望的Jensen不等式

宋丽^1,2

1.山东轻工业学院金融职业学院, 山东济南 250100; 2.山东大学数学学院, 山东济南 250100

收稿日期:2010-06-08 发布日期:2011-04-21
作者简介:宋丽(1979- )，女,讲师,博士研究生,研究方向为金融数学与金融工程. Email:flyaway23@163.com
基金资助:
国家重点基础研究发展计划(973计划)资助项目(2007CB14901)

Jensen′s inequality for sub-linear expectations

SONG Li^1,2

1. Financial School, Shandong Light Industry School, Jinan 250100, Shandong, China;
2. School of Mathematics, Shandong University, Jinan 250100, Shandong, China

Received:2010-06-08 Published:2011-04-21

摘要/Abstract

摘要：

在次线性期望理论框架下,证明了次线性期望关于连续凸函数的Jensen不等式以及关于连续非减凹函数的Jensen不等式.

关键词: 次线性期望;Jensen不等式;凹函数;凸函数

Abstract:

Under the framework of sub-linear expectations, it is proved that the Jensen′s inequality of sublinear expectations holds for the continuous convex function and the continuous non-decreasing concave function.

Key words: sub-linear expectation; Jensen′s inequality; concave function; convex function

宋丽1,2. 次线性期望的Jensen不等式[J]. J4, 2011, 46(3): 109-111.

SONG Li1,2. Jensen′s inequality for sub-linear expectations[J]. J4, 2011, 46(3): 109-111.

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