Acta mathematica scientia,Series B ›› 2019, Vol. 39 ›› Issue (5): 1415-1422.doi: 10.1007/s10473-019-0518-6

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A NOTE ON g-CONCAVE FUNCTION

Guangyan JIA1, Yuhong XU2   

  1. 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).

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

CLC Number: 

  • 60H10
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