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A generalized Neyman-Pearson lemma for s...
Sun, Chuanfeng...

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A generalized Neyman-Pearson lemma for sublinear expectations by Sun, Chuanfeng ( Author )
Lemonjar Open Access
Australian National University
08-08-2023
In this paper, the Neyman-Pearson lemma for general sublinear expectations is studied. We weaken the assumptions for sublinear expectations in [1] and give a completely new method to study this problem. Applying Mazur-Orlicz Theorem and the decomposition theorem of finitely additive set functions, we prove that the optimal test still has the reminiscent form as in the classical Neyman-Pearson lemma. Finally, for the special sublinear expectation which can be represented by a family of probability measures, we give a sufficient condition for the existence of the optimal test and show the form of the optimal test selected in L_{c}^1-space which is introduced by Peng [10] in his nonlinear-expectation framework.
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Article
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29.34 KB
English
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MYR 0.01
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http://arxiv.org/abs/1605.05094
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