Markov Chains under Nonlinear Expectation

Nendel M (2018) Center for Mathematical Economics Working Papers; 588.
Bielefeld: Center for Mathematical Economics.

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Abstract / Bemerkung
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.
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Nendel M. Markov Chains under Nonlinear Expectation . Center for Mathematical Economics Working Papers. Vol 588. Bielefeld: Center for Mathematical Economics; 2018.
Nendel, M. (2018). Markov Chains under Nonlinear Expectation (Center for Mathematical Economics Working Papers, 588). Bielefeld: Center for Mathematical Economics.
Nendel, M. (2018). Markov Chains under Nonlinear Expectation . Center for Mathematical Economics Working Papers, 588, Bielefeld: Center for Mathematical Economics.
Nendel, M., 2018. Markov Chains under Nonlinear Expectation , Center for Mathematical Economics Working Papers, no.588, Bielefeld: Center for Mathematical Economics.
M. Nendel, Markov Chains under Nonlinear Expectation , Center for Mathematical Economics Working Papers, vol. 588, Bielefeld: Center for Mathematical Economics, 2018.
Nendel, M.: Markov Chains under Nonlinear Expectation . Center for Mathematical Economics Working Papers, 588. Center for Mathematical Economics, Bielefeld (2018).
Nendel, Max. Markov Chains under Nonlinear Expectation . Bielefeld: Center for Mathematical Economics, 2018. Center for Mathematical Economics Working Papers. 588.
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