Generalized Neyman-Pearson lemma via convex duality.
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Publication:5933652
DOI10.2307/3318603zbMath1054.62056WikidataQ125052783 ScholiaQ125052783MaRDI QIDQ5933652
Jakša Cvitanić, Ioannis Karatzas
Publication date: 2001
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.bj/1080572340
hypothesis testing; subdifferentials; Komlós theorem; non-smooth convex analysis; normal cones; optimal generalized tests; saddle-points; stochastic games
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