Nonlinear Expectations and Stochastic Calculus under Uncertainty

with Robust CLT and G-Brownian Motion

Autor*innen

• Shige Peng

Parameter

• 228 Seiten
• 8 Lesestunden

• Mathematik

Mehr zum Buch

Focusing on recent advancements in probability model uncertainty, this book explores nonlinear expectations, especially sublinear expectations. It offers a comprehensive introduction to the theory of nonlinear expectations and stochastic analysis. Key concepts such as G-normal distribution, G-Brownian motion, and the G-Martingale representation theorem are introduced, providing readers with foundational knowledge in these areas of stochastic calculus.

• Sprache: Englisch
• Erscheinungsdatum: 2020
• Einband: Paperback