Extended Laplace principle for empirical measures of a Markov chain (Q5203894)

scientific article; zbMATH DE number 7141389

Language	Label	Description	Also known as
English	Extended Laplace principle for empirical measures of a Markov chain	scientific article; zbMATH DE number 7141389

Statements

instance of

scholarly article

0 references

title

Extended Laplace principle for empirical measures of a Markov chain (English)

0 references

author

Stephan Eckstein

0 references

published in

Advances in Applied Probability

0 references

publication date

9 December 2019

0 references

full work available at URL

https://arxiv.org/abs/1709.02278

0 references

zbMATH Keywords

large deviations

0 references

Markov chain

0 references

convex duality

0 references

distributional uncertainty

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Dynamic Risk Measures

0 references

Barycenters in the Wasserstein Space

0 references

Exponential utility maximization under model uncertainty for unbounded endowments

0 references

Computational aspects of robust optimized certainty equivalents and option pricing

0 references

Stochastic optimal control. The discrete time case

0 references

Optimal Transport and Cournot-Nash Equilibria

0 references

Quantifying Distributional Model Risk via Optimal Transport

0 references

Q4003876

0 references

Ergodic Theorems for lower probabilities

0 references

COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME

0 references

Large deviations for empirical measures of Markov chains

0 references

IMPRECISE MARKOV CHAINS AND THEIR LIMIT BEHAVIOR

0 references

Q3957683

0 references

Large deviations techniques and applications.

0 references

Asymptotic evaluation of certain markov process expectations for large time, I

0 references

Asymptotic evaluation of certain Markov process expectations for large time—III

0 references

Real Analysis and Probability

0 references

Q4388221

0 references

Extended Laplace principle for empirical measures of a Markov chain

0 references

Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations

0 references

Q3721531

0 references

On Choosing and Bounding Probability Metrics

0 references

A distributionally robust perspective on uncertainty quantification and chance constrained programming

0 references

On the theory of Markov set-chains

0 references

Embedded population systems in Markov set-chains

0 references

Large deviation lower bounds for additive functionals of Markov processes

0 references

Robustness of efficient server assignment policies to service time distributions in finite-buffered lines

0 references

Controlled Markov set-chains with discounting

0 references

Law invariant risk measures and information divergences

0 references

A non-exponential extension of Sanov’s theorem via convex duality

0 references

Markov additive processes. II: Large deviations

0 references

Robust Control of Markov Decision Processes with Uncertain Transition Matrices

0 references

Survey on normal distributions, central limit theorem, Brownian motion and the related stochastic calculus under sublinear expectations

0 references

Q3416167

0 references

Discrete time Markov chains with interval probabilities

0 references

Efficient computation of the bounds of continuous time imprecise Markov chains

0 references

Q3251537

0 references

Optimal Transport

0 references

Robust Markov Decision Processes

0 references

Distributionally Robust Counterpart in Markov Decision Processes

0 references

Identifiers

zbMATH Open document ID

1427.60145

0 references

DOI

10.1017/apr.2019.6

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5203894