Jensen'S Inequality For G-Expectations In General Filtration Spaces

In this paper, we investigate the properties of BSDEs in general filtration spaces based on the transposition solutions. We obtain a result that Jensen's inequality holds under the g-expectation and conditional g-expectation in general filtration spaces if and only if g is independent of y and super-homogeneous in z. (C) 2020 Elsevier B.V. All rights reserved.