Articles liés à Lévy-Type Processes under Uncertainty and Related Nonlocal...

Lévy-Type Processes under Uncertainty and Related Nonlocal Equations - Couverture souple

Hollender, Julian

 
9781535553841: Lévy-Type Processes under Uncertainty and Related Nonlocal Equations
Couverture souple
ISBN 10 : 1535553847 ISBN 13 : 9781535553841
Editeur : CreateSpace Independent Publishing Platform, 2016

Synopsis

The theoretical study of nonlinear expectations is the focus of attention for applications in a variety of different fields — often with the objective to model systems under incomplete information. Especially in mathematical finance, advances in the theory of sublinear expectations (also referred to as coherent risk measures) lay the theoretical foundation for modern approaches to evaluations under the presence of Knightian uncertainty. In this book, we introduce and study a large class of jump-type processes for sublinear expectations, which can be interpreted as Lévy-type processes under uncertainty in their characteristics. Moreover, we establish an existence and uniqueness theory for related nonlinear, nonlocal Hamilton-Jacobi-Bellman equations with non-dominated jump terms.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

The theoretical study of nonlinear expectations is the focus of attention for applications in a variety of different fields — often with the objective to model systems under incomplete information. Especially in mathematical finance, advances in the theory of sublinear expectations (also referred to as coherent risk measures) lay the theoretical foundation for modern approaches to evaluations under the presence of Knightian uncertainty. In this book, we introduce and study a large class of jump-type processes for sublinear expectations, which can be interpreted as Lévy-type processes under uncertainty in their characteristics. Moreover, we establish an existence and uniqueness theory for related nonlinear, nonlocal Hamilton-Jacobi-Bellman equations with non-dominated jump terms.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
CreateSpace Independent Publishing Platform
Date d'édition
2016
Langue
anglais
ISBN 10 
1535553847
ISBN 13 
9781535553841
Reliure
Broché
Nombre de pages
250
Coordonnées du fabricant
Manufactured by Amazon on behalf of the author
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