Nonlinear expectations of random sets
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DOI: 10.1007/s00780-020-00442-3
Abstract: Sublinear functionals of random variables are known as sublinear expectations; they are convex homogeneous functionals on infinite-dimensional linear spaces. We extend this concept for set-valued functionals defined on measurable set-valued functions (which form a nonlinear… read more here.
Keywords: random sets; nonlinear expectations; set valued; finance ... See more keywords