| 书目名称 | Nonlinear Expectations and Stochastic Calculus under Uncertainty |
| 副标题 | with Robust CLT and |
| 编辑 | Shige Peng |
| 视频video | |
| 概述 | Provides new notions and results of the theory of nonlinear expectations and related stochastic analysis.Summarizes the latest studies on G-Martingale representation theorem and Itô’s integrals.Includ |
| 丛书名称 | Probability Theory and Stochastic Modelling |
| 图书封面 |  |
| 描述 | .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 |
| 出版日期 | Book 2019 |
| 关键词 | probability theory; stochastic analysis; uncertainty of probabilities; nonlinear expectations; independe |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-662-59903-7 |
| isbn_softcover | 978-3-662-59905-1 |
| isbn_ebook | 978-3-662-59903-7Series ISSN 2199-3130 Series E-ISSN 2199-3149 |
| issn_series | 2199-3130 |
| copyright | Springer-Verlag GmbH Germany, part of Springer Nature 2019 |
发表于 2025-3-21 17:47:06
