TY  - GEN
AB  - In this paper, we consider nonlinear continuous-time Markov chains
with a finite state space. We define so-called *Q*-operators as an extension of
*Q*-matrices to a nonlinear setup, where the nonlinearity is due to parameter
uncertainty. The main result gives a full characterization of convex *Q*-operators
in terms of a positive maximum principle, a dual representation by means of *Q*-
matrices, continuous-time Markov chains under convex expectations and fully
nonlinear ODEs. This extends a well-known characterization of *Q*-matrices.
DA  - 2018
KW  - Nonlinear expectations
KW  - imprecise Markov chains
KW  - nonlinear transition probabilities
KW  - generators of nonlinear ODEs
LA  - eng
PY  - 2018
SN  - 0931-6558
SP  - 17-
TI  - Markov Chains under Nonlinear Expectation
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29304111
Y2  - 2024-11-22T05:36:51
ER  -