Quantiles under the sub-linear expectations
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Cites work
- A theoretical framework for the pricing of contingent claims in the presence of model uncertainty
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Complete convergence and complete moment convergence for weighted sums of extended negatively dependent random variables under sub-linear expectation
- Expected utility with purely subjective non-additive probabilities
- Exponential inequalities under the sub-linear expectations with applications to laws of the iterated logarithm
- Limit laws for non-additive probabilities and their frequentist interpretation
- Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
- Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and G-Brownian motion
- Rosenthal's inequalities for independent and negatively dependent random variables under sub-linear expectations with applications
- G-expectation, G-Brownian motion and related stochastic calculus of Itô type
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