Markov chains under nonlinear expectation

DOI10.1111/mafi.12289zbMath1522.91281arXiv1803.03695OpenAlexW3101094497MaRDI QIDQ6054140

Max Nendel

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

zbMATH Keywords

model uncertaintynonlinear expectationimprecise Markov chainnonlinear ODEgenerator of nonlinear semigroup

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Financial markets with volatility uncertainty
• Representing filtration consistent nonlinear expectations as \(g\)-expectations in general probability spaces
• On Markovian solutions to Markov chain BSDEs
• Adapted solution of a backward stochastic differential equation
• Risk-averse dynamic programming for Markov decision processes
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Efficient computation of the bounds of continuous time imprecise Markov chains
• Discrete time Markov chains with interval probabilities
• A general theory of finite state backward stochastic difference equations
• On a non-linear semi-group attached to stochastic optimal control
• Markov set-chains
• Convex imprecise previsions
• Convex measures of risk and trading constraints
• Risk measurement and risk-averse control of partially observable discrete-time Markov systems
• Kolmogorov-type and general extension results for nonlinear expectations
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• Niveloids and their extensions: risk measures on small domains
• Process-based risk measures and risk-averse control of discrete-time systems
• Comparisons for backward stochastic differential equations on Markov chains and related no-arbitrage conditions
• A semigroup approach to nonlinear Lévy processes
• Uncertainty modelling and conditioning with convex imprecise previsions
• Imprecise continuous-time Markov chains
• Nonlinear expectations and nonlinear Markov chains
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Coherent Measures of Risk
• Solutions of Backward Stochastic Differential Equations on Markov Chains
• Nonlinear Lévy processes and their characteristics
• Ergodic BSDEs Driven by Markov Chains
• Game-theoretic probability
• Stochastic Finance
• Second-order backward stochastic differential equations and fully nonlinear parabolic PDEs
• IMPRECISE MARKOV CHAINS AND THEIR LIMIT BEHAVIOR
• Markov Chains
• Backward Stochastic Differential Equations in Finance
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Combinatorial implications of nonlinear uncertain volatility models: the case of barrier options
• Time-Coherent Risk Measures for Continuous-Time Markov Chains
• Pricing and hedging derivative securities in markets with uncertain volatilities

This page was built for publication: Markov chains under nonlinear expectation