Journal title
Electronic Journal of Statistics
DOI
10.1214/17-EJS1278
Issue
1
Volume
11
Last updated
2024-03-27T16:39:06.653+00:00
Page
1858-1889
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.
Symplectic ID
690103
Submitted to ORA
On
Favourite
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Publication type
Journal Article
Publication date
28 Apr 2017