On nonlinear expectations and Markov chains under model uncertainty
DOI10.1016/J.IJAR.2020.12.013zbMATH Open1490.60215OpenAlexW3022487676MaRDI QIDQ2237129FDOQ2237129
Authors: Max Nendel 
Publication date: 27 October 2021
Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)
Full work available at URL: https://pub.uni-bielefeld.de/record/2939265
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imprecise probabilitynonlinear expectationimprecise Markov chainChoquet capacitynonlinear transition probability
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Foundations of probability theory (60A99) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
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Cited In (9)
- Application of normal cones to the computation of solutions of the nonlinear Kolmogorov backward equation
- Markov chains under nonlinear expectation
- Stochastic Processes under Parameter Uncertainty
- Z-relation-based multistage decision making
- Dynamic bid-ask pricing under Dempster-Shafer uncertainty
- Nonlinear expectations and nonlinear Markov chains
- Kolmogorov-type and general extension results for nonlinear expectations
- Editorial. Extended papers from the 11th international symposium on imprecise probabilities: theories and applications
- Non-linear affine processes with jumps
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