Data-driven nonlinear expectations for statistical uncertainty in decisions
From MaRDI portal
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.
Recommendations
- Theory, methods and meaning of nonlinear expectation theory
- scientific article; zbMATH DE number 6027107
- On uncertainty problems in decision-making
- Optimal decisions under complex uncertainty – basic notions and a general algorithm for data‐based decision making with partial prior knowledge described by interval probability
- Stochastic multicriteria decision making and uncertainty
Cited in
(7)- Gambling Under Unknown Probabilities as Proxy for Real World Decisions Under Uncertainty
- Parameter uncertainty in the Kalman-Bucy filter
- Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets
- Robust filtering and propagation of uncertainty in hidden Markov models
- Pathwise stochastic control with applications to robust filtering
- Using data-driven uncertainty quantification to support decision making
- Gittins' theorem under uncertainty
This page was built for publication: Data-driven nonlinear expectations for statistical uncertainty in decisions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q527101)
