The minimum mean square estimator of integrable variables under sublinear operators

DOI10.1080/17442508.2019.1641091MaRDI QIDQ5086492zbMATH OpenOpenAlexWikidataFDO

Authors Shaolin Ji, Chuiliu Kong, Chuanfeng Sun

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1903.02404

zbMATH Keywords

\(g\)-expectationsublinear operatorsquare integrableminimum mean square estimator

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Abstract: In this paper, we study the minimum mean square estimator for non-bounded random variables under sublinear operators. The existence and uniqueness of the minimum mean square estimator are obtained. Several properties of the minimum mean square estimator for non-bounded random variables are proved under some mild assumptions.

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• A result on the probability measures dominated by g-expectation
• Adapted solution of a backward stochastic differential equation
• Coherent measures of risk
• Coherent multiperiod risk adjusted values and Bellman's principle
• From Hahn--Banach to monotonicity
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• A robust Kalman-Bucy filtering problem

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