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Jensen’s and martingale inequalities in Riesz spaces

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Grobler, Jacobus

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Elsevier

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A functional calculus is defined and used to prove Jensen’s inequality for conditional expectations acting on Riesz spaces. Upcrossing inequalities, martingale inequalities and Doob’s L p-inequality for continuous time martingales and submartingales are proved

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Grobler, J. 2014. Jensen’s and martingale inequalities in Riesz spaces. Indagationes mathematicae, 25(2):275-295. [https://doi.org/10.1016/j.indag.2013.02.003]

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