A generalized Neyman-Pearson Lemma for g-probabilities

DOI10.1007/S00440-009-0244-4MaRDI QIDQ707608zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

hypothesis testbackward stochastic differential equationNeyman-Pearson lemmastochastic maximum principle\(g\)-probability/expectation

Mathematics Subject Classification ID

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
• Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints
• The perturbation method applied to a robust optimization problem with constraint
• 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
• Neyman-Pearson testing under interval probability by globally least favorable pairs: Reviewing Huber-Strassen theory and extending it to general interval probability
• A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
• On extension of the neyman-peabson lemma for capacities to dependent random variables
• An optimal insurance design problem under Knightian uncertainty
• scientific article; zbMATH DE number 6845542 (Why is no real title available?)
• 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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