Please use this identifier to cite or link to this item:
Nendel, Max
Year of Publication: 
Series/Report no.: 
Center for Mathematical Economics Working Papers No. 628
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
The aim of this work is to give an overview on nonlinear expectation and to relate them to other concepts that describe model uncertainty or imprecision in a probabilistic framework. We discuss imprecise versions of stochastic processes with a particular interest in imprecise Markov chains. First, we focus on basic properties and representations of nonlinear expectations with additional structural assumptions such as translation invariance or convexity. In a second step, we discuss how stochastic processes under nonlinear expectations can be constructed via primal and dual representations. We illustrate the concepts by means of imprecise Markov chains with a countable state space, and show how families of Markov chains give rise to imprecise versions of Markov chains. We discuss dual representations and differential equations related to the latter.
Nonlinear expectation
imprecise probability
Choquet capacity
imprecise Markov chain
nonlinear transition probability
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
472.45 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.