The G-convex Functions Based on the Nonlinear Expectations Defined by G-BSDEs

Kun He

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arXiv · 1511.08015

The G-convex Functions Based on the Nonlinear Expectations Defined by G-BSDEs

Kun He

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Abstract

In this paper, generalizing the definition of G-convex functions defined by Peng [9] during the construction of G-expectations and related properties, we define a group of G-convex functions based on the Backward Stochastic Differential Equations driven by G- Brownian motions.

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Kun He. 2015-11-25. The G-convex Functions Based on the Nonlinear Expectations Defined by G-BSDEs. https://arxiv.org/abs/1511.08015

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