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G-Martingales and Jensen’s Inequality

Springer Nature, (2019), 91-100
DOI: 10.1007/978-3-662-59903-7_4
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Abstract

In this chapter, we introduce the notion of G-martingales and the related Jensen’s inequality for a new type of G-convex functions. One essential difference from the classical situation is that here “M is a G-martingale” does not imply that “ - M is a G-martingale”.

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APA

Peng, S. (2019). G-Martingales and Jensen’s Inequality. In Probability Theory and Stochastic Modelling (Vol. 95, pp. 91–100). Springer Nature. https://doi.org/10.1007/978-3-662-59903-7_4

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