Generalized Neyman-Pearson lemma via convex duality.

DOI10.2307/3318603zbMath1054.62056OpenAlexW1979649286WikidataQ125052783 ScholiaQ125052783MaRDI QIDQ5933652

Jakša Cvitanić, Ioannis Karatzas

Publication date: 2001

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1080572340

zbMATH Keywords

hypothesis testingsubdifferentialsKomlós theoremnon-smooth convex analysisnormal conesoptimal generalized testssaddle-pointsstochastic games

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Set-valued and variational analysis (49J53)

Related Items (23)

On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals. ⋮ A version of Komlós theorem for additive set functions ⋮ Shortfall risk minimising strategies in the binomial model: characterisation and convergence ⋮ Cooperative Hedging in Incomplete Markets ⋮ Economic neutral position: how to best replicate not fully replicable liabilities? ⋮ Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing ⋮ A characterization of a minimax test in the problem of testing two composite hypotheses ⋮ A strong law of large numbers for positive random variables ⋮ Testing composite hypotheses via convex duality ⋮ Dynamic hedging of conditional value-at-risk ⋮ Cooperative hedging in the complete market under \(g\)-expectation constraint ⋮ Minimizing a stochastic convex function subject to stochastic constraints and some applications ⋮ A characterization of maximin tests for two composite hypotheses ⋮ The Neyman-Pearson lemma under \(g\)-probability ⋮ Quantile hedging in a semi-static market with model uncertainty ⋮ Recursive utility optimization with concave coefficients ⋮ Approximation of CVaR minimization for hedging under exponential-Lévy models ⋮ A generalized Neyman-Pearson Lemma for \(g\)-probabilities ⋮ Cooperative hedging with a higher interest rate for borrowing ⋮ Recursive utility maximization for terminal wealth under partial information ⋮ Coherent hedging in incomplete markets ⋮ Testing hypotheses for measures with different masses: Four optimization problems ⋮ Risk Measures and Robust Optimization Problems

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