Markov chains under nonlinear expectation
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Publication:6054140
DOI10.1111/mafi.12289zbMath1522.91281arXiv1803.03695OpenAlexW3101094497MaRDI QIDQ6054140
Publication date: 27 September 2023
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.03695
model uncertaintynonlinear expectationimprecise Markov chainnonlinear ODEgenerator of nonlinear semigroup
Nonlinear ordinary differential equations and systems (34A34) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of continuous-time Markov processes on discrete state spaces (60J28)
Related Items (3)
Markovian imprecise jump processes: extension to measurable variables, convergence theorems and algorithms ⋮ Non-linear affine processes with jumps ⋮ Markov risk mappings and risk-sensitive optimal prediction
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