Uncertainty orders on the sublinear expectation space

DOI10.1515/math-2016-0023zbMath1346.60013OpenAlexW2351220136MaRDI QIDQ317860

Long Jiang, De-Jian Tian

Publication date: 4 October 2016

Published in: Open Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/math-2016-0023

zbMATH Keywords

Choquet integralrisk measurequantile functionsublinear expectationuncertainty order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Decision theory (91B06) Management decision making, including multiple objectives (90B50) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items

Stochastic ordering by \(g\)-expectations, \( G\)-expectation approach to stochastic ordering

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stochastic dominance with respect to a capacity and risk measures
• Explicit solutions of the \(G\)-heat equation for a class of initial conditions
• The relationship between risk measures and Choquet expectations in the framework of \(g\)-expectations
• Non-additive measure and integral
• Choquet expectation and Peng's \(g\)-expectation
• Multi-dimensional \(G\)-Brownian motion and related stochastic calculus under \(G\)-expectation
• Minimax tests and the Neyman-Pearson lemma for capacities
• Theory of capacities
• Coherent Measures of Risk
• ENTROPIC RISK MEASURES: COHERENCE VS. CONVEXITY, MODEL AMBIGUITY AND ROBUST LARGE DEVIATIONS
• Risk Measures and Comonotonicity: A Review
• The Dual Theory of Choice under Risk
• Stochastic finance. An introduction in discrete time
• Stochastic ordering of multivariate normal distributions