On p-confidence intervals for g-expectations

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jun 2015 Australia Publisher:Louisiana State University LibrariesJournal:Communications on Stochastic Analysis, volume 9 (eissn: 0973-9599,

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Authors: Shen, Leo; Wolff, Rodney C.;

doi: 10.31390/cosa.9.2.04

On p-confidence intervals for g-expectations

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Abstract

Summary: This paper defines a \(g\)-variance and \(p\)-confidence interval for a \(g\)-expectation. We also determine the \(p\)-confidence intervals under some specific assumptions on \(g\).

Country

Australia

Related Organizations

University of Queensland
Australia
University of Queensland
Australia

Keywords

Nonparametric tolerance and confidence regions, Backward stochastic differential equations, G expectation, P confidence interval, G variance, Stochastic ordinary differential equations (aspects of stochastic analysis)

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