23 citations · 127 across the 56 of their papers we have counts for
6 papers · 2 filters
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…
Solvability of finite state forward-backward stochastic difference equations
Shaolin Ji, Haodong Liu
In this paper, we consider the solvability problems for the fully coupled forward-backward stochastic difference equations (FBSΔEs) on spaces related to discrete time, finite state…
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…
Solvability of one kind of forward-backward stochastic difference equations
Shaolin Ji, Haodong Liu
In this paper, we study the solvability problem for one kind of fully coupled forward-backward stochastic difference equations (FBSΔEs). With the help of the necessary and sufficie…