A NOTE ON g-CONCAVE FUNCTION

doi:10.1007/s10473-019-0518-6

数学物理学报(英文版) ›› 2019, Vol. 39 ›› Issue (5): 1415-1422.doi: 10.1007/s10473-019-0518-6

A NOTE ON g-CONCAVE FUNCTION

贾广岩¹, 徐玉红²

1. Zhongtai Securities Institute for Financial Studies, Shandong University, Jinan 250100, China;
2. Center for Financial Engineering and Math Center for Interdiscipline Research and School of Mathematical Sciences, Soochow University, Suzhou 215006, China

收稿日期:2017-03-27 修回日期:2018-12-24 出版日期:2019-10-25 发布日期:2019-11-11
通讯作者: Yuhong XU E-mail:yhxu@suda.edu.cn
作者简介:Guangyan JIA,E-mail:jiagy@sdu.edu.cn
基金资助:
Xu was supported by the NSFC (11871050 and 11401414) and SF of Jiangsu Province (BK20160300; BK20140299; 14KJB110022); Jia was supported by NSFC (11171186) and the "111" project (B12023).

A NOTE ON g-CONCAVE FUNCTION

Guangyan JIA¹, Yuhong XU²

1. Zhongtai Securities Institute for Financial Studies, Shandong University, Jinan 250100, China;
2. Center for Financial Engineering and Math Center for Interdiscipline Research and School of Mathematical Sciences, Soochow University, Suzhou 215006, China

Received:2017-03-27 Revised:2018-12-24 Online:2019-10-25 Published:2019-11-11
Contact: Yuhong XU E-mail:yhxu@suda.edu.cn
Supported by:
Xu was supported by the NSFC (11871050 and 11401414) and SF of Jiangsu Province (BK20160300; BK20140299; 14KJB110022); Jia was supported by NSFC (11171186) and the "111" project (B12023).

摘要/Abstract

摘要： An equivalent condition is derived for g-concave function defined by (static) g-expectation. Several extensions including quadratic generators and (g,h)-concavity are also considered.

关键词: g-convexity, Jensen's inequality, g-expectation, risk aversion

Abstract: An equivalent condition is derived for g-concave function defined by (static) g-expectation. Several extensions including quadratic generators and (g,h)-concavity are also considered.

Key words: g-convexity, Jensen's inequality, g-expectation, risk aversion

中图分类号:

60H10

贾广岩, 徐玉红. A NOTE ON g-CONCAVE FUNCTION[J]. 数学物理学报(英文版), 2019, 39(5): 1415-1422.

Guangyan JIA, Yuhong XU. A NOTE ON g-CONCAVE FUNCTION[J]. Acta mathematica scientia,Series B, 2019, 39(5): 1415-1422.

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A NOTE ON g-CONCAVE FUNCTION

A NOTE ON g-CONCAVE FUNCTION

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