The minimum mean square estimator of integrable variables under sublinear operators

DOI10.1080/17442508.2019.1641091zbMath1490.60132arXiv1903.02404OpenAlexW2964104491WikidataQ127515644 ScholiaQ127515644MaRDI QIDQ5086492

Chuiliu Kong, Shaolin Ji, 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)

Related Items (3)

A robust Kalman-Bucy filtering problem ⋮ The least squares estimator of random variables under convex operators on \(L_{\mathcal{F}}^\infty (\mu)\) space ⋮ Kalman--Bucy Filtering and Minimum Mean Square Estimator under Uncertainty

Cites Work

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• Adapted solution of a backward stochastic differential equation
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• The least squares estimator of random variables under sublinear expectations
• From Hahn--Banach to monotonicity
• Coherent multiperiod risk adjusted values and Bellman's principle
• Coherent Measures of Risk
• Minimax Theorems

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