Moment Inequality and Holder Inequality for BSDEs

被引：1

作者：

Fan, Sheng-jun ^{[1
]}

机构：

[1] China Univ Min & Technol, Coll Sch, Xuzhou 221008, Peoples R China

来源：

ACTA MATHEMATICAE APPLICATAE SINICA-ENGLISH SERIES | 2009年 / 25卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Backward stochastic differential equation; moment inequality for bsdes; holder inequality for bsdes; minkowski inequality for BSDEs; JENSENS INEQUALITY;

D O I：

10.1007/s10255-007-7035-4

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Under the Lipschitz and square integrable assumptions on the generator g of BSDEs, this paper proves that if g is positively homogeneous in (y, z) and is decreasing in y, then the Moment inequality for BSDEs with generator g holds in general, and if g is positively homogeneous and sub-additive in (y, z), then the Holder inequality and Minkowski inequality for BSDEs with generator g hold in general.

引用

页码：11 / 20

页数：10

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