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Data-driven nonlinear expectations for statistical uncertainty in decisions
Published 21 Sep 2016 in math.ST, math.OC, math.PR, q-fin.MF, and stat.TH | (1609.06545v1)
Abstract: 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.
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