Articles

A NOTE ON g-CONCAVE FUNCTION

  • Guangyan JIA ,
  • Yuhong XU
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  • 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 date: 2017-03-27

  Revised date: 2018-12-24

  Online published: 2019-11-11

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.

Cite this article

Guangyan JIA , Yuhong XU . A NOTE ON g-CONCAVE FUNCTION[J]. Acta mathematica scientia, Series B, 2019 , 39(5) : 1415 -1422 . DOI: 10.1007/s10473-019-0518-6

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