The Neyman-Pearson lemma under \(g\)-probability

DOI10.1016/j.crma.2007.12.007zbMath1136.62316WikidataQ124883496 ScholiaQ124883496MaRDI QIDQ2472990

Yanyan Li

Publication date: 25 February 2008

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2007.12.007

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F03: Parametric hypothesis testing

93E99: Stochastic systems and control

62A01: Foundations and philosophical topics in statistics

Related Items

A generalized Neyman-Pearson Lemma for \(g\)-probabilities

Cites Work

• Unnamed Item
• Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• Efficient hedging: cost versus shortfall risk
• A dynamic maximum principle for the optimization of recursive utilities under constraints.
• A maximum principle for stochastic optimal control with terminal state constraints, and its applications
• Minimax pricing and Choquet pricing
• Risk measures via \(g\)-expectations
• Minimax tests and the Neyman-Pearson lemma for capacities
• Backward Stochastic Differential Equations in Finance
• PORTFOLIO MANAGEMENT WITH CONSTRAINTS
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Generalized Neyman-Pearson lemma via convex duality.