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Cookie akzeptierenShige Peng
Nonlinear Expectations and Stochastic Calculus under Uncertainty
- Springer Berlin Heidelberg
- 2020
- Taschenbuch
- 228 Seiten
- ISBN 9783662599051
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
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