•  Retrait gratuit dans votre magasin Club
  •  7.000.000 titres dans notre catalogue
  •  Payer en toute sécurité
  •  Toujours un magasin près de chez vous     
  •  Retrait gratuit dans votre magasin Club
  •  7.000.000 titres dans notre catalogue
  •  Payer en toute sécurité
  •  Toujours un magasin près de chez vous

Livres

Ebooks

Papeterie

Jeux

Cadeaux

Tous les produits

Dédicaces

Jobs

Articles

  1. Accueil
  2. Livres
  3. Sciences humaines
  4. Sciences
  5. Mathématiques
  6. Mathématiques appliquées
  7. Nonlinear Expectations and Stochastic Calculus Under Uncertainty

Nonlinear Expectations and Stochastic Calculus Under Uncertainty

With Robust Clt and G-Brownian Motion

Shige Peng
Livre relié | Anglais | Probability Theory and Stochastic Modelling | n° 95
126,95 €
+ 253 points
Format
Livraison sous 1 à 4 semaines
Passer une commande en un clic
Payer en toute sécurité
Livraison en Belgique: 3,99 €
Livraison en magasin gratuite

Description

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.

Spécifications

Parties prenantes

Auteur(s) :
Shige Peng
Editeur:
Springer

Contenu

Nombre de pages :
212
Langue:
Anglais
Collection :
Probability Theory and Stochastic Modelling
Tome:
n° 95

Caractéristiques

EAN:
9783662599020
Date de parution :
19-09-19
Format:
Livre relié
Format numérique:
Genaaid
Dimensions :
156 mm x 234 mm
Poids :
498 g

Les avis