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Nonlinear Expectations and Stochastic Calculus under Uncertainty
Af: Shige Peng Engelsk Paperback
SPAR
kr 320
Nonlinear Expectations and Stochastic Calculus under Uncertainty
Af: Shige Peng Engelsk Paperback

This book is focused on the recent developments on problems of probability model uncertainty by using the notion of nonlinear expectations and, in particular, sublinear expectations. It provides a gentle coverage of the theory of nonlinear expectations and related stochastic analysis. Many notions and results, for example, G-normal distribution, G-Brownian motion, G-Martingale representation theorem, and related stochastic calculus are first introduced or obtained by the author.

This book is based on Shige Peng''s lecture notes for a series of lectures given at summer schools and universities worldwide. It starts with basic definitions of nonlinear expectations and their relation to coherent measures of risk, law of large numbers and central limit theorems under nonlinear expectations, and develops into stochastic integral and stochastic calculus under G-expectations. It ends with recent research topic on G-Martingale representation theorem and G-stochastic integral for locally integrable processes.

With exercises to practice at the end of each chapter, this book can be used as a graduate textbook for students in probability theory and mathematical finance. Each chapter also concludes with a section Notes and Comments, which gives history and further references on the material covered in that chapter.

Researchers and graduate students interested in probability theory and mathematical finance will find this book very useful.

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This book is focused on the recent developments on problems of probability model uncertainty by using the notion of nonlinear expectations and, in particular, sublinear expectations. It provides a gentle coverage of the theory of nonlinear expectations and related stochastic analysis. Many notions and results, for example, G-normal distribution, G-Brownian motion, G-Martingale representation theorem, and related stochastic calculus are first introduced or obtained by the author.

This book is based on Shige Peng''s lecture notes for a series of lectures given at summer schools and universities worldwide. It starts with basic definitions of nonlinear expectations and their relation to coherent measures of risk, law of large numbers and central limit theorems under nonlinear expectations, and develops into stochastic integral and stochastic calculus under G-expectations. It ends with recent research topic on G-Martingale representation theorem and G-stochastic integral for locally integrable processes.

With exercises to practice at the end of each chapter, this book can be used as a graduate textbook for students in probability theory and mathematical finance. Each chapter also concludes with a section Notes and Comments, which gives history and further references on the material covered in that chapter.

Researchers and graduate students interested in probability theory and mathematical finance will find this book very useful.

Produktdetaljer
Sprog: Engelsk
Sider: 212
ISBN-13: 9783662599051
Indbinding: Paperback
Udgave:
ISBN-10: 3662599058
Kategori: Stokastik
Udg. Dato: 19 sep 2020
Længde: 0mm
Bredde: 235mm
Højde: 155mm
Oplagsdato: 19 sep 2020
Forfatter(e): Shige Peng
Forfatter(e) Shige Peng


Kategori Stokastik


Sprog Engelsk


Indbinding Paperback


Sider 212


Udgave


Længde 0mm


Bredde 235mm


Højde 155mm

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