Data-driven nonlinear expectations for statistical uncertainty in decisions
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Abstract (arXiv)
In stochastic decision problems, one often wants to estimate the underlying probability measure statistically, and then to use this estimate as a basis for decisions. We shall consider how the uncertainty in this estimation can be explicitly and consistently incorporated in the valuation of decisions, using the theory of nonlinear expectations.
Key facts. Cited by 1 paper in the map (data through 7 Oct 2026). First posted on arXiv 21 Sep 2016.
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