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Nonlinear Expectations and Stochastic Calculus Under Uncertainty: With Robust CLT and G-Brownian Motion - Couverture rigide
Synopsis
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.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
À propos de l?auteur
Shige Peng received his PhD in 1985 at Université Paris-Dauphine, in the direction of mathematics and informatics, and 1986 at University of Provence, in the direction of applied mathematics. He now is a full professor in Shandong University. His main research interests are stochastic optimal controls, backward SDEs and the corresponding PDEs, stochastic HJB equations. He has received the Natural Science Prize of China (1995), Su Buqing Prize of Applied Mathematics (2006), TAN Kah Kee Science Award (2008), Loo-Keng Hua Mathematics Award (2011), and the Qiu Shi Award for Outstanding Scientists (2016).
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Nonlinear Expectations and Stochastic Calculus under Uncertainty
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Springer Berlin Heidelberg, 2019
ISBN 10 : 3662599023
ISBN 13 : 9783662599020
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Couverture rigide
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Nonlinear Expectations and Stochastic Calculus under Uncertainty: with Robust CLT and G-Brownian Motion (Probability Theory and Stochastic Modelling, 95)
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Nonlinear Expectations and Stochastic Calculus Under Uncertainty : With Robust CLT and G-Brownian Motion
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Springer, 2019
ISBN 10 : 3662599023
ISBN 13 : 9783662599020
Ancien ou d'occasion
Couverture rigide
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Nonlinear Expectations and Stochastic Calculus Under Uncertainty : With Robust CLT and G-Brownian Motion
Vendeur : GreatBookPrices, Columbia, MD, Etats-Unis
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Etat : New. N° de réf. du vendeur 38543098-n
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Nonlinear Expectations and Stochastic Calculus under Uncertainty : with Robust CLT and G-Brownian Motion
Edité par
Springer Berlin Heidelberg, 2019
ISBN 10 : 3662599023
ISBN 13 : 9783662599020
Neuf
Couverture rigide
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 underG-expectations. It ends with recent research topic onG-Martingale representation theorem andG-stochastic integral for locally integrable processes.With exercises topracticeat the end of each chapter, thisbook can be used as a graduate textbook for students in probability theory and mathematical finance.Each chapter also concludes with a sectionNotes 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. N° de réf. du vendeur 9783662599020
Quantité disponible : 1 disponible(s)
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Nonlinear Expectations and Stochastic Calculus under Uncertainty
Edité par
Springer Berlin Heidelberg Sep 2019, 2019
ISBN 10 : 3662599023
ISBN 13 : 9783662599020
Neuf
Couverture rigide
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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 underG-expectations. It ends with recent research topic onG-Martingale representation theorem andG-stochastic integral for locally integrable processes.With exercises topracticeat the end of each chapter, thisbook can be used as a graduate textbook for students in probability theory and mathematical finance.Each chapter also concludes with a sectionNotes 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. 228 pp. Englisch. N° de réf. du vendeur 9783662599020
Quantité disponible : 1 disponible(s)
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Nonlinear Expectations and Stochastic Calculus under Uncertainty
Edité par
Springer Berlin Heidelberg, Springer Berlin Heidelberg Sep 2019, 2019
ISBN 10 : 3662599023
ISBN 13 : 9783662599020
Neuf
Couverture rigide
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Buch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -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 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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 228 pp. Englisch. N° de réf. du vendeur 9783662599020
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Nonlinear Expectations and Stochastic Calculus under Uncertainty : with Robust CLT and G-Brownian Motion
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Nonlinear Expectations and Stochastic Calculus under Uncertainty: with Robust CLT and G-Brownian Motion (Probability Theory and Stochastic Modelling, 95)
Vendeur : Lucky's Textbooks, Dallas, TX, Etats-Unis
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Nonlinear Expectations and Stochastic Calculus under Uncertainty : with Robust CLT and G-Brownian Motion
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