A generalized Neyman-Pearson Lemma for g-probabilities
DOI10.1007/S00440-009-0244-4zbMATH Open1197.93163OpenAlexW2080704658WikidataQ124987250 ScholiaQ124987250MaRDI QIDQ707608FDOQ707608
Authors: D. Kharzeev 
Publication date: 8 October 2010
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00440-009-0244-4
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- scientific article; zbMATH DE number 3951788
hypothesis testbackward stochastic differential equationNeyman-Pearson lemmastochastic maximum principle\(g\)-probability/expectation
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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Cited In (18)
- An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints
- The optimal portfolio selection model under \(g\)-expectation
- Backward Stackelberg differential game with constraints: a mixed terminal-perturbation and linear-quadratic approach
- A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints
- The perturbation method applied to a robust optimization problem with constraint
- Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints
- Generalized Neyman-Pearson lemma via convex duality.
- Recursive utility maximization for terminal wealth under partial information
- A hypothesis-testing perspective on the \(G\)-normal distribution theory
- The Neyman-Pearson lemma under \(g\)-probability
- Recursive utility optimization with concave coefficients
- On extension of the neyman-peabson lemma for capacities to dependent random variables
- A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
- Neyman-Pearson testing under interval probability by globally least favorable pairs: Reviewing Huber-Strassen theory and extending it to general interval probability
- Title not available (Why is that?)
- An optimal insurance design problem under Knightian uncertainty
- The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps
- Maximum principle for a stochastic delayed system involving terminal state constraints
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