[Lemme de Neyman–Pearson généralisé pour les g-espérances]
Le lemme fondamental de Neyman–Pearson est généralisé au cas de g-probabilités. Sous des hypothèses de convexité, une condition suffisante et nécessaire caractérisant le test randomisé optimal est obtenue au moyen du principe du maximum dans le cadre du contrôle stochastique.
The Neyman–Pearson fundamental lemma is generalized under g-probability. With convexity assumptions, a sufficient and necessary condition which characterizes the optimal randomized tests is obtained via a maximum principle for stochastic control.
Accepté le :
Publié le :
Shaolin Ji 1 ; Xun Yu Zhou 2, 3
@article{CRMATH_2008__346_3-4_209_0, author = {Shaolin Ji and Xun Yu Zhou}, title = {The {Neyman{\textendash}Pearson} lemma under \protect\emph{g}-probability}, journal = {Comptes Rendus. Math\'ematique}, pages = {209--212}, publisher = {Elsevier}, volume = {346}, number = {3-4}, year = {2008}, doi = {10.1016/j.crma.2007.12.007}, language = {en}, }
Shaolin Ji; Xun Yu Zhou. The Neyman–Pearson lemma under g-probability. Comptes Rendus. Mathématique, Volume 346 (2008) no. 3-4, pp. 209-212. doi : 10.1016/j.crma.2007.12.007. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2007.12.007/
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Cité par 7 documents. Sources : Crossref, zbMATH
⁎ The authors thank the partial support from the National Basic Research Program of China (973 Program, No. 2007CB814900), the RGC Earmark Grant No. 418606, and a start-up fund at Oxford.
⁎⁎ This Note is the succinct version of a text on file for five years in the Academy Archives.
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