Author(s)

Liyang Feng

University of Shanghai for Science and Technology, Shanghai, China.

In the G-expectation framework, Wang [1] first obtained the Jensen inequality of one-dimensional function. In this paper, under some stronger conditions, we obtain the Jensen inequality of bivariate function based on Wang’s proof method. And we give some examples to illustrate the application of Jensen inequality of bivariate function.

Bivariate Function, Jensen Inequality, G-Expectation, G-Browian Motion

Feng, L. (2020) Jensen Inequality of Bivariate Function in the G-Expectation Framework. Journal of Mathematical Finance, 10, 35-41. doi: 10.4236/jmf.2020.101004.