8 citations · 17 across the 9 of their papers we have counts for
5 papers · 1 filter
The Neyman-Pearson lemma for convex expectations
Sun Chuanfeng, Ji Shaolin
We study the Neyman-Pearson theory for convex expectations (convex risk measures) on . Without assuming that the level sets of penalty functions are weakly compact,…
The Neyman-Pearson lemma for convex expectations
Chuanfeng Sun, Shaolin Ji
We study the Neyman-Pearson problem for convex expectations on L^{\infty}(μ). The existence of the optimal test is given. Without assuming that the level sets of penalty functions…
A filtering problem with uncertainty in observation
Shaolin Ji, Chuiliu Kong, Chuanfeng Sun
This paper is concerned with a generalized Kalman-Bucy filtering model and corresponding robust problem under model uncertainty. We find that this robust problem is equivalent to c…
A robust Kalman-Bucy filtering problem
Shaolin Ji, Chuiliu Kong, Chuanfeng Sun
A generalized Kalman-Bucy model under model uncertainty and a corresponding robust problem are studied in this paper. We find that this robust problem is equivalent to an estimate…
The minimum mean square estimator of integrable variables under sublinear operators
Shaolin Ji, Chuiliu Kong, Chuanfeng Sun
In this paper, we study the minimum mean square estimator for non-bounded random variables under sublinear operators. The existence and uniqueness of the minimum mean square estima…