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Methods of Moment and Maximum Entropy for Solving Nonlinear Expectation

Author

Listed:
  • Lei Gao

    (Department of Mathematics, Shanghai Jiao Tong University, Shanghai 200240, China)

  • Dong Han

    (Department of Mathematics, Shanghai Jiao Tong University, Shanghai 200240, China)

Abstract

In this paper, we consider a special nonlinear expectation problem on the special parameter space and give a necessary and sufficient condition for the existence of the solution. Meanwhile, we generalize the necessary and sufficient condition to the two-dimensional moment problem. Moreover, we use the maximum entropy method to carry out a kind of concrete solution and analyze the convergence for the maximum entropy solution. Numerical experiments are presented to compute the maximum entropy density functions.

Suggested Citation

  • Lei Gao & Dong Han, 2019. "Methods of Moment and Maximum Entropy for Solving Nonlinear Expectation," Mathematics, MDPI, vol. 7(1), pages 1-10, January.
    • Handle: RePEc:gam:jmathe:v:7:y:2019:i:1:p:45-:d:194991
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    Cited by:

    1. Sylvia J. Soltyk & Felix Chan, 2023. "Modeling time‐varying higher‐order conditional moments: A survey," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 33-57, February.

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