Methods of Moment and Maximum Entropy for Solving Nonlinear Expectation

Lei Gao and Dong Han
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Lei Gao: Department of Mathematics, Shanghai Jiao Tong University, Shanghai 200240, China
Dong Han: Department of Mathematics, Shanghai Jiao Tong University, Shanghai 200240, China

Mathematics, 2019, vol. 7, issue 1, 1-10

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.

Keywords: moment problem; maximum entropy; nonlinear expectation; existence and uniqueness (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2019
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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