Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/201612
Authors: 
Nendel, Max
Year of Publication: 
2018
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 588
Abstract: 
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
Subjects: 
Nonlinear expectations
imprecise Markov chains
nonlinear transition probabilities
generators of nonlinear ODEs
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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