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...
Main Author: | Cohen, S |
---|---|
Format: | Journal article |
Published: |
Institute of Mathematical Statistics
2017
|
Similar Items
-
Data and uncertainty in extreme risks: a nonlinear expectations approach
by: Cohen, S
Published: (2018) -
Data-driven methods for statistical verification of uncertain nonlinear systems
by: Quindlen, John Francis
Published: (2018) -
Representing filtration consistent nonlinear expectations as g-expectations in general probability spaces
by: Cohen, SN
Published: (2012) -
Growing Uncertainty in Marriage Expectations among U.S. Youth
by: Joanna R. Pepin, et al.
Published: (2024-03-01) -
Statistical learning for decision making : interpretability, uncertainty, and inference
by: Letham, Benjamin
Published: (2015)