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000914560 019__ $$a1121272751
000914560 020__ $$a9783662599037$$q(electronic book)
000914560 020__ $$a3662599031$$q(electronic book)
000914560 020__ $$z9783662599020
000914560 0247_ $$a10.1007/978-3-662-59
000914560 035__ $$aSP(OCoLC)on1119640231
000914560 035__ $$aSP(OCoLC)1119640231$$z(OCoLC)1121272751
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000914560 049__ $$aISEA
000914560 050_4 $$aQA274.75
000914560 08204 $$a519.2/33$$223
000914560 1001_ $$aPeng, Shige.
000914560 24510 $$aNonlinear expectations and stochastic calculus under uncertainty :$$bwith robust CLT and G-Brownian motion /$$cShige Peng.
000914560 260__ $$aBerlin, Germany :$$bSpringer,$$c2019.
000914560 300__ $$a1 online resource (216 pages).
000914560 336__ $$atext$$btxt$$2rdacontent
000914560 337__ $$acomputer$$bc$$2rdamedia
000914560 338__ $$aonline resource$$bcr$$2rdacarrier
000914560 4901_ $$aProbability Theory and Stochastic Modelling ;$$vv.95
000914560 506__ $$aAccess limited to authorized users.
000914560 520__ $$aThis book is focused on the recent developments on problems of probability model uncertainty by using the notion of nonlinear expectations and, in particular, sublinear expectations. It provides a gentle coverage of the theory of nonlinear expectations and related stochastic analysis. Many notions and results, for example, G-normal distribution, G-Brownian motion, G-Martingale representation theorem, and related stochastic calculus are first introduced or obtained by the author. This book is based on Shige Pengs lecture notes for a series of lectures given at summer schools and universities worldwide. It starts with basic definitions of nonlinear expectations and their relation to coherent measures of risk, law of large numbers and central limit theorems under nonlinear expectations, and develops into stochastic integral and stochastic calculus under G-expectations. It ends with recent research topic on G-Martingale representation theorem and G-stochastic integral for locally integrable processes. With exercises to practice at the end of each chapter, this book can be used as a graduate textbook for students in probability theory and mathematical finance. Each chapter also concludes with a section Notes and Comments, which gives history and further references on the material covered in that chapter. Researchers and graduate students interested in probability theory and mathematical finance will find this book very useful.
000914560 588__ $$aDescription based on print version record.
000914560 650_0 $$aBrownian motion processes.
000914560 77608 $$iPrint version:$$aPeng, Shige$$tNonlinear Expectations and Stochastic Calculus under Uncertainty : With Robust CLT and G-Brownian Motion$$dBerlin, Heidelberg : Springer,c2019$$z9783662599020
000914560 830_0 $$aProbability theory and stochastic modelling ;$$vv. 95.
000914560 852__ $$bebk
000914560 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1007/978-3-662-59903-7$$zOnline Access$$91397441.1
000914560 909CO $$ooai:library.usi.edu:914560$$pGLOBAL_SET
000914560 980__ $$aEBOOK
000914560 980__ $$aBIB
000914560 982__ $$aEbook
000914560 983__ $$aOnline
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