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Nonlinear Expectations and Stochastic Calculus under Uncertainty with Robust CLT and G-Brownian Motion

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Shige Peng’s Nonlinear Expectations and Stochastic Calculus under Uncertainty with Robust CLT and G-Brownian Motion delves into advanced topics in stochastic calculus, emphasizing the challenges posed by uncertainty in probabilistic models. The book introduces a robust framework for nonlinear expectations, including G-expectations and G-Brownian motion, which extends classical models to address issues of model uncertainty and risk quantification.
Peng lays out the mathematical foundations for this nonlinear approach, exploring essential concepts such as the robust central limit theorem (CLT), sublinear expectations, and the behavior of G-Brownian motion. Through rigorous theoretical development and practical insights, the book provides a bridge between abstract stochastic theory and its applications in fields like finance, insurance, and other areas where uncertainty plays a significant role.
This comprehensive resource is ideal for researchers, mathematicians, and advanced professionals seeking a deeper understanding of stochastic analysis under uncertainty, offering tools and methods to address problems beyond the scope of traditional linear models.

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Ketersediaan

Informasi Detail

Judul Seri

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No. Panggil

515.3534 PEN n

Penerbit

Germany : Springer., 2020

Deskripsi Fisik

212 hal; illus; 25,5 cm

Bahasa

English

ISBN/ISSN

978-3-662-59905-1

Klasifikasi

515.3534

Tipe Isi

text

Tipe Media

unspecified

Tipe Pembawa

volume

Edisi

First Edition

Subjek

Basic Theory of Nonlinier Expectations
Stochastic Analysis Under G-Expectations
Stochastic Calculus for General Situation

Info Detail Spesifik

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Pernyataan Tanggungjawab

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Versi lain/terkait

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