华东师范大学学报(自然科学版) ›› 2013, Vol. 2013 ›› Issue (2): 111-115, 123.

• 数学 • 上一篇    下一篇

关于\,$\vec g$\,-期望的几个不等式

杨 丛,  江 龙   

  1. 中国矿业大学~~理学院, 江苏~~徐州 221116
  • 收稿日期:2012-03-01 修回日期:2012-06-01 出版日期:2013-03-25 发布日期:2013-03-20

Several inequalities of the $\vec g$-expectation

YANG Cong,  JIANG Long   

  1. School of Sciences, China University of Mining and Technology, Xuzhou Jiangsu 221116,  China
  • Received:2012-03-01 Revised:2012-06-01 Online:2013-03-25 Published:2013-03-20

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摘要： 运用倒向随机微分方程与\,$g$\,-期望的相关性质,
证明了关于\,$g$\,-期望的
\,Markov\,不等式、Chebyshev\,不等式和\,Cantelli\,不等式.

关键词: 倒向随机微分方程, $g$\,-期望, Markov不等式, Chebyshev不等式, Cantelli不等式

Abstract: Based on the related properties of the backward stochastic
differential equations and the $g$-expectation, Markov inequality,
Chebyshev inequality and Cantelli inequality of the $g$-expectation
were proved.

Key words: BSDE, $g$-expectation, Markov inequality, Chebyshev inequality, Cantelli inequality

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