Data-driven nonlinear expectations for statistical uncertainty in decisions
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 decision...
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| Format: | Journal article |
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Institute of Mathematical Statistics
2017
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| _version_ | 1797073633222328320 |
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| author | Cohen, S |
| author_facet | Cohen, S |
| author_sort | Cohen, S |
| collection | OXFORD |
| description | 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. |
| first_indexed | 2024-03-06T23:24:50Z |
| format | Journal article |
| id | oxford-uuid:6a01a5ba-1882-4a49-b0d1-f870c2b4a2e4 |
| institution | University of Oxford |
| last_indexed | 2024-03-06T23:24:50Z |
| publishDate | 2017 |
| publisher | Institute of Mathematical Statistics |
| record_format | dspace |
| spelling | oxford-uuid:6a01a5ba-1882-4a49-b0d1-f870c2b4a2e42022-03-26T18:54:40ZData-driven nonlinear expectations for statistical uncertainty in decisionsJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:6a01a5ba-1882-4a49-b0d1-f870c2b4a2e4Symplectic Elements at OxfordInstitute of Mathematical Statistics2017Cohen, SIn 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. |
| spellingShingle | Cohen, S Data-driven nonlinear expectations for statistical uncertainty in decisions |
| title | Data-driven nonlinear expectations for statistical uncertainty in decisions |
| title_full | Data-driven nonlinear expectations for statistical uncertainty in decisions |
| title_fullStr | Data-driven nonlinear expectations for statistical uncertainty in decisions |
| title_full_unstemmed | Data-driven nonlinear expectations for statistical uncertainty in decisions |
| title_short | Data-driven nonlinear expectations for statistical uncertainty in decisions |
| title_sort | data driven nonlinear expectations for statistical uncertainty in decisions |
| work_keys_str_mv | AT cohens datadrivennonlinearexpectationsforstatisticaluncertaintyindecisions |