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A Note on g-Concave Function

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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.

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Authors and Affiliations

  1. Zhongtai Securities Institute for Financial Studies, Shandong University, Jinan, 250100, China

    Guangyan Jia

  2. Center for Financial Engineering and Math Center for Interdiscipline Research and School of Mathematical Sciences, Soochow University, Suzhou, 215006, China

    Yuhong Xu

Authors
  1. Guangyan Jia
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  2. Yuhong Xu
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Corresponding author

Correspondence to Yuhong Xu.

Additional information

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).

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Jia, G., Xu, Y. A Note on g-Concave Function. Acta Math Sci 39, 1415–1422 (2019). https://doi.org/10.1007/s10473-019-0518-6

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  • DOI: https://doi.org/10.1007/s10473-019-0518-6

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