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.
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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