Data-driven nonlinear expectations for statistical uncertainty in decisions
Statistics Theory
2017-05-24 v1 Optimization and Control
Probability
Mathematical Finance
Statistics Theory
Abstract
In stochastic decision problems, one often wants to estimate the underlying probability measure statistically, and then to use this estimate as a basis for decisions. We shall consider how the uncertainty in this estimation can be explicitly and consistently incorporated in the valuation of decisions, using the theory of nonlinear expectations.
Cite
@article{arxiv.1609.06545,
title = {Data-driven nonlinear expectations for statistical uncertainty in decisions},
author = {Samuel N. Cohen},
journal= {arXiv preprint arXiv:1609.06545},
year = {2017}
}