FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2891732023> ?p ?o ?g. }

• W2891732023 abstract "We introduce a new notion of conditional nonlinear expectation under probability distortion. Such a distorted nonlinear expectation is not sub-additive in general, so it is beyond the scope of Peng's framework of nonlinear expectations. A more fundamental problem when extending the distorted expectation to a dynamic setting is time-inconsistency, that is, the usual fails. By localizing the probability distortion and restricting to a smaller class of random variables, we introduce a so-called distorted probability and construct a conditional expectation in such a way that it coincides with the original nonlinear expectation at time zero, but has a time-consistent dynamics in the sense that the tower property remains valid. Furthermore, we show that in the continuous time model this conditional expectation corresponds to a parabolic differential equation whose coefficient involves the law of the underlying diffusion. This work is the first step towards a new understanding of nonlinear expectations under probability distortion, and will potentially be a helpful tool for solving time-inconsistent stochastic optimization problems." @default.
• W2891732023 created "2018-09-27" @default.
• W2891732023 creator A5006910957 @default.
• W2891732023 creator A5035113720 @default.
• W2891732023 creator A5053260623 @default.
• W2891732023 date "2018-09-21" @default.
• W2891732023 modified "2023-09-27" @default.
• W2891732023 title "Time-consistent conditional expectation under probability distortion" @default.
• W2891732023 cites W1580561995 @default.
• W2891732023 cites W1791174547 @default.
• W2891732023 cites W1946848043 @default.
• W2891732023 cites W195033016 @default.
• W2891732023 cites W200028774 @default.
• W2891732023 cites W2032316144 @default.
• W2891732023 cites W2041946752 @default.
• W2891732023 cites W2053984877 @default.
• W2891732023 cites W2082018848 @default.
• W2891732023 cites W2099765385 @default.
• W2891732023 cites W2129969123 @default.
• W2891732023 cites W2133469585 @default.
• W2891732023 cites W2155513791 @default.
• W2891732023 cites W2158880527 @default.
• W2891732023 cites W2169417293 @default.
• W2891732023 cites W2169877676 @default.
• W2891732023 cites W2771758737 @default.
• W2891732023 cites W2803231892 @default.
• W2891732023 cites W2897660831 @default.
• W2891732023 cites W2962749215 @default.
• W2891732023 cites W2963001048 @default.
• W2891732023 cites W2963151709 @default.
• W2891732023 cites W2963939707 @default.
• W2891732023 cites W299346747 @default.
• W2891732023 cites W3001997947 @default.
• W2891732023 cites W3123137989 @default.
• W2891732023 cites W2099161251 @default.
• W2891732023 hasPublicationYear "2018" @default.
• W2891732023 type Work @default.
• W2891732023 sameAs 2891732023 @default.
• W2891732023 citedByCount "2" @default.
• W2891732023 countsByYear W28917320232019 @default.
• W2891732023 countsByYear W28917320232020 @default.
• W2891732023 crossrefType "posted-content" @default.
• W2891732023 hasAuthorship W2891732023A5006910957 @default.
• W2891732023 hasAuthorship W2891732023A5035113720 @default.
• W2891732023 hasAuthorship W2891732023A5053260623 @default.
• W2891732023 hasConcept C103982235 @default.
• W2891732023 hasConcept C105795698 @default.
• W2891732023 hasConcept C121332964 @default.
• W2891732023 hasConcept C122123141 @default.
• W2891732023 hasConcept C126780896 @default.
• W2891732023 hasConcept C144237770 @default.
• W2891732023 hasConcept C149782125 @default.
• W2891732023 hasConcept C158622935 @default.
• W2891732023 hasConcept C186215838 @default.
• W2891732023 hasConcept C194257627 @default.
• W2891732023 hasConcept C197096303 @default.
• W2891732023 hasConcept C21430997 @default.
• W2891732023 hasConcept C23922673 @default.
• W2891732023 hasConcept C2776257435 @default.
• W2891732023 hasConcept C28826006 @default.
• W2891732023 hasConcept C31258907 @default.
• W2891732023 hasConcept C33923547 @default.
• W2891732023 hasConcept C41008148 @default.
• W2891732023 hasConcept C43555835 @default.
• W2891732023 hasConcept C44492722 @default.
• W2891732023 hasConcept C62520636 @default.
• W2891732023 hasConcept C91602232 @default.
• W2891732023 hasConceptScore W2891732023C103982235 @default.
• W2891732023 hasConceptScore W2891732023C105795698 @default.
• W2891732023 hasConceptScore W2891732023C121332964 @default.
• W2891732023 hasConceptScore W2891732023C122123141 @default.
• W2891732023 hasConceptScore W2891732023C126780896 @default.
• W2891732023 hasConceptScore W2891732023C144237770 @default.
• W2891732023 hasConceptScore W2891732023C149782125 @default.
• W2891732023 hasConceptScore W2891732023C158622935 @default.
• W2891732023 hasConceptScore W2891732023C186215838 @default.
• W2891732023 hasConceptScore W2891732023C194257627 @default.
• W2891732023 hasConceptScore W2891732023C197096303 @default.
• W2891732023 hasConceptScore W2891732023C21430997 @default.
• W2891732023 hasConceptScore W2891732023C23922673 @default.
• W2891732023 hasConceptScore W2891732023C2776257435 @default.
• W2891732023 hasConceptScore W2891732023C28826006 @default.
• W2891732023 hasConceptScore W2891732023C31258907 @default.
• W2891732023 hasConceptScore W2891732023C33923547 @default.
• W2891732023 hasConceptScore W2891732023C41008148 @default.
• W2891732023 hasConceptScore W2891732023C43555835 @default.
• W2891732023 hasConceptScore W2891732023C44492722 @default.
• W2891732023 hasConceptScore W2891732023C62520636 @default.
• W2891732023 hasConceptScore W2891732023C91602232 @default.
• W2891732023 hasLocation W28917320231 @default.
• W2891732023 hasOpenAccess W2891732023 @default.
• W2891732023 hasPrimaryLocation W28917320231 @default.
• W2891732023 hasRelatedWork W1528788397 @default.
• W2891732023 hasRelatedWork W1541108860 @default.
• W2891732023 hasRelatedWork W173995107 @default.
• W2891732023 hasRelatedWork W1951842521 @default.
• W2891732023 hasRelatedWork W1994667018 @default.
• W2891732023 hasRelatedWork W2015110509 @default.
• W2891732023 hasRelatedWork W2059167514 @default.
• W2891732023 hasRelatedWork W2080756994 @default.

• next