A generalized Neyman-Pearson lemma for g-probabilities
This paper is concerned with hypothesis tests for g-probabilities, a class of nonlinear probability measures. The problem is shown to be a special case of a general stochastic optimization problem where the objective is to choose the terminal state of certain backward stochastic differential equatio...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Language: | English |
| Published: |
2010
|