Copyright © 2013 Zhaojun Zong. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

We study Jensen's inequality for generalized Peng's -expectations and give four equivalent conditions on Jensen's inequality for generalized Peng's -expectations without the assumption that the generator is continuous with respect to . This result includes and extends some existing results. Furthermore, we give some applications of Jensen's inequality for generalized Peng's -expectations.