Methods of Moment and Maximum Entropy for Solving Nonlinear Expectation

oleh: Lei Gao, Dong Han

Format: Article
Diterbitkan: MDPI AG 2019-01-01

Deskripsi

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.