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

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.

11 pages. arXiv admin note: text overlap with arXiv:1306.1929 by other authors

References in corpus (3)

• Some properties on $G$-evaluation and its applications to $G$-martingale decomposition
• A New Central Limit Theorem under Sublinear Expectations
• Backward Stochastic Differential Equations Driven by G-Brownian Motion