  In this paper, we have derived certain classical inequalities, namely,
Young's, H\"older's, Minkowski's and Hermite-Hadamard inequalities for
pseudo-integral (also known as $g$-integral). For Young's, H\"older's,
Minkowski's inequalities, both the cases $p>1$ as well as $p<1,\,p\ne 0$ have
been covered. Moreover, in the case of Hermite-Hadamard inequality, a
refinement has also been proved and as a special case, $g$-analogue of
geometric-logarithmic-arithmetic inequality has been deduced.
