Jensen's inequality for filtration consistent nonlinear expectation without domination condition

Abstract

In this paper, the general filtration consistent nonlinear expectation defined on the integrable variable space is considered, based on the results in [F. Coquet, Y. Hu, J. Memin, S. Peng, Filtration consistent nonlinear expectations and related g-expectation, Probab. Theory Related Fields 123 (2002) 1–27]. Under a natural continuous assumption for the nonlinear expectation, which weakens the domination assumption in [F. Coquet, Y. Hu, J. Memin, S. Peng, Filtration consistent nonlinear expectations and related g-expectation, Probab. Theory Related Fields 123 (2002) 1–27], the author obtains the necessary and sufficient conditions under which Jensen's inequality for filtration consistent nonlinear expectation holds in general, respectively on scalar function and bivariate function. These two results generalize the known results on Jensen's inequality for g-expectation in [Z. Chen, R. Kulperger, L. Jiang, Jensen's inequality for g-expectation: Part 1, C. R. Acad. Sci. Paris Ser. I 337 (11) (2003) 725–730; Z. Chen, R. Kulperger, L. Jiang, Jensen's inequality for g-expectation: Part 2, C. R. Acad. Sci. Paris Ser. I 337 (12) (2003) 797–800; L. Jiang, On Jensen's inequality of bivariate function for g-expectation, J. Shandong Univ. 38 (5) (2003) 13–22 (in Chinese); L. Jiang, Z. Chen, On Jensen's inequality for g-expectation, Chinese Ann. Math. Ser. B 25 (3) (2004) 401–412; L. Jiang, Jensen's inequality for backward stochastic differential equation, Chinese Ann. Math. Ser. B 27 (5) (2006) 553–564; S. Fan, Jensen's inequality for g-expectation on convex (concave) function, Chinese Ann. Math. Ser. A 27 (5) (2006) 635–644 (in Chinese)].