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Nonlinear Expectations and Stochastic Calculus Under Uncertainty
With Robust Clt and G-Brownian Motion
Shige Peng
126,95 €
+ 253 points
Format
Description
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.
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.
Spécifications
Parties prenantes
- Auteur(s) :
- Editeur:
Contenu
- Nombre de pages :
- 212
- Langue:
- Anglais
- Collection :
- Tome:
- n° 95
Caractéristiques
- EAN:
- 9783662599051
- Date de parution :
- 19-09-20
- Format:
- Livre broché
- Format numérique:
- Trade paperback (VS)
- Dimensions :
- 156 mm x 234 mm
- Poids :
- 326 g
