Expected utility

Nonlinear expectation

In probability theory, a nonlinear expectation is a nonlinear generalization of the expectation. Nonlinear expectations are useful in utility theory as they more closely match human behavior than traditional expectations. The common use of nonlinear expectations is in assessing risks under uncertainty. Generally, nonlinear expectations are categorized into sub-linear and super-linear expectations dependent on the additive properties of the given sets. Much of the study of nonlinear expectation is attributed to work of mathematicians within the past two decades. (Wikipedia).

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Functional (mathematics) | Risk measure | Convex function | Subadditivity | Expected value | Probability space | Probability theory | Markov chain | G-expectation | Superadditivity