A generalized Neyman-Pearson Lemma for \(g\)-probabilities
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Publication:707608
DOI10.1007/s00440-009-0244-4zbMath1197.93163WikidataQ124987250 ScholiaQ124987250MaRDI QIDQ707608
Publication date: 8 October 2010
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00440-009-0244-4
hypothesis test; stochastic maximum principle; backward stochastic differential equation; Neyman-Pearson lemma; \(g\)-probability/expectation
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
49K45: Optimality conditions for problems involving randomness
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