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math.PR2020
A Particular Upper Expectation as Global Belief Model for Discrete-Time Finite-State Uncertain Processes
Natan T'Joens, Jasper De Bock, Gert de Cooman
To model discrete-time finite-state uncertain processes, we argue for the use of a global belief model in the form of an upper expectation that is the most conservative one under a…
math.PR2020
Game-Theoretic Upper Expectations for Discrete-Time Finite-State Uncertain Processes
Natan T'Joens, Jasper De Bock, Gert de Cooman
Game-theoretic upper expectations are joint (global) probability models that mathematically describe the behaviour of uncertain processes in terms of supermartingales; capital proc…
math.PR2020
Limit Behaviour of Upper and Lower Expected Time Averages in Discrete-Time Imprecise Markov Chains
Natan T'Joens, Jasper De Bock
We study the limit behaviour of upper and lower bounds on expected time averages in imprecise Markov chains; a generalised type of Markov chain where the local dynamics, traditiona…