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
收藏
页码：11 / 20
页数：10
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