Open AccessOn p-confidence intervals for g-expectations
Author(s) -
Leo Shen,
Rodney Wolff
Publication year - 2015
Publication title -
communications on stochastic analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.224
H-Index - 10
eISSN - 2688-6669
pISSN - 0973-9599
DOI - 10.31390/cosa.9.2.04
Subject(s) - confidence interval , statistics , econometrics , mathematics
This paper defines a g-variance and p-confidence interval for a gexpectation. We also determine the p-confidence intervals under some specific assumptions on g.
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