Nonlinear Expectations and Stochastic Calculus under Uncertainty: with Robust CLT and G-Brownian Motion (Probability Theory and Stochastic Modelling, 95)
Language: English
Published by Springer, 2019
Series: Book 28 of 35 - Probability Theory and Stochastic Modelling
- Hardcover
- New

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In English.
Seller Inventory # ria9783662599020_new
- Title
- Nonlinear Expectations and Stochastic Calculus under Uncertainty: with Robust CLT and G-Brownian Motion (Probability Theory and Stochastic Modelling, 95)
- Author
- Peng, Shige
- Publisher
- Springer
- Publication year
- 2019
- Condition
- New
- Binding
- Hardcover
- Language
- English
- ISBN 10
- 3662599023
- ISBN 13
- 9783662599020
- Item weight
- 619 grams
- Series
- Book 28 of 35: Probability Theory and Stochastic Modelling
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.
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Ria Christie Collections
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