Arbeitspapier
Markov chains under nonlinear expectation
In this paper, we consider nonlinear continuous-time Markov chains with a finite state space. We define so-called Q-operators as an extension of Q-matrices to a nonlinear setup, where the nonlinearity is due to parameter uncertainty. The main result gives a full characterization of convex Q-operators in terms of a positive maximum principle, a dual representation by means of Q- matrices, continuous-time Markov chains under convex expectations and fully nonlinear ODEs. This extends a well-known characterization of Q-matrices
- Sprache
-
Englisch
- Erschienen in
-
Series: Center for Mathematical Economics Working Papers ; No. 588
- Klassifikation
-
Wirtschaft
- Thema
-
Nonlinear expectations
imprecise Markov chains
nonlinear transition probabilities
generators of nonlinear ODEs
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Nendel, Max
- Ereignis
-
Veröffentlichung
- (wer)
-
Bielefeld University, Center for Mathematical Economics (IMW)
- (wo)
-
Bielefeld
- (wann)
-
2018
- Handle
- URN
-
urn:nbn:de:0070-pub-29304111
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Nendel, Max
- Bielefeld University, Center for Mathematical Economics (IMW)
Entstanden
- 2018
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