The Neyman-Pearson lemma under \(g\)-probability

DOI10.1016/J.CRMA.2007.12.007zbMath1136.62316OpenAlexW2044192469WikidataQ124883496 ScholiaQ124883496MaRDI QIDQ2472990

Yanyan Li

Publication date: 25 February 2008

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2007.12.007

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Parametric hypothesis testing (62F03) Stochastic systems and control (93E99) Foundations and philosophical topics in statistics (62A01)

Related Items (4)

The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps ⋮ The optimal portfolio selection model under \(g\)-expectation ⋮ An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints ⋮ A generalized Neyman-Pearson Lemma for \(g\)-probabilities

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