The Neyman-Pearson lemma under g-probability

DOI10.1016/J.CRMA.2007.12.007MaRDI QIDQ2472990zbMATH OpenOpenAlexWikidataFDO

Authors 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

Foundations and philosophical topics in statistics (62A01) Parametric hypothesis testing (62F03) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic systems and control (93E99)

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Cites work

• 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
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Backward Stochastic Differential Equations in Finance
• Efficient hedging: cost versus shortfall risk
• Generalized Neyman-Pearson lemma via convex duality.
• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory
• Minimax pricing and Choquet pricing
• Minimax tests and the Neyman-Pearson lemma for capacities
• PORTFOLIO MANAGEMENT WITH CONSTRAINTS
• Risk measures via g-expectations
• Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection

Cited in

(16)

• Monotonic expectations, Neyman-Pearson lemma, and some properties of the SPRT
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• The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps
• The optimal portfolio selection model under \(g\)-expectation
• An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints
• scientific article; zbMATH DE number 4192868 (Why is no real title available?)
• A new proof of the Neyman‐Pearson lemma from the solution of a maximin receiver problem
• scientific article; zbMATH DE number 3951788 (Why is no real title available?)
• scientific article; zbMATH DE number 3685386 (Why is no real title available?)
• scientific article; zbMATH DE number 6845542 (Why is no real title available?)
• On extension of the neyman-peabson lemma for capacities to dependent random variables
• Illustrating the Neyman-Pearson lemma with a stopping rule of order \(k\)
• A quantitative gibbard-satterthwaite theorem without neutrality
• Generalized Neyman-Pearson lemma via convex duality.
• The Neyman-Pearson lemma for convex expectations
• A generalized Neyman-Pearson Lemma for \(g\)-probabilities

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