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
- Language
-
Englisch
- Bibliographic citation
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Series: Center for Mathematical Economics Working Papers ; No. 588
- Classification
-
Wirtschaft
- Subject
-
Nonlinear expectations
imprecise Markov chains
nonlinear transition probabilities
generators of nonlinear ODEs
- Event
-
Geistige Schöpfung
- (who)
-
Nendel, Max
- Event
-
Veröffentlichung
- (who)
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Bielefeld University, Center for Mathematical Economics (IMW)
- (where)
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Bielefeld
- (when)
-
2018
- Handle
- URN
-
urn:nbn:de:0070-pub-29304111
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Nendel, Max
- Bielefeld University, Center for Mathematical Economics (IMW)
Time of origin
- 2018
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