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generator of nonlinear semigroup 1 imprecise Markov chain 1 model uncertainty 1 nonlinear ODE 1 nonlinear expectation 1
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Markov chains under nonlinear expectation
Nendel, Max - In: Mathematical Finance 31 (2020) 1, pp. 474-507
In this paper, we consider continuous-time Markov chains with a finite state space under nonlinear expectations. We define so-called Q-operators as an extension of Q-matrices or rate matrices to a nonlinear setup, where the nonlinearity is due to model uncertainty. The main result gives a full...
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