Jensen's Inequality for Backward SDEs Driven by $G$-Brownian motion

In this note, we consider Jensen's inequality for the nonlinear expectation associated with backward SDEs driven by $G$-Brownian motion ($G$-BSDEs for short). At first, we give a necessary and sufficient condition for $G$-BSDEs under which one-dimensional Jensen inequality holds. Second, we prove that for $n>1$, the $n$-dimensional Jensen inequality holds for any nonlinear expectation if and only if the nonlinear expectation is linear, which is essentially due to Jia (Arch. Math. 94 (2010), 489-499). As a consequence, we give a necessary and sufficient condition for $G$-BSDEs under which the $n$-dimensional Jensen inequality holds.

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