Nonlinear Expectations and Stochastic Calculus under Uncertainty
with Robust CLT and G-Brownian Motion
- 228pagine
- 8 ore di lettura
Focusing on recent advancements in probability model uncertainty, this book explores nonlinear expectations, especially sublinear expectations. It offers a comprehensive introduction to the theory of nonlinear expectations and stochastic analysis. Key concepts such as G-normal distribution, G-Brownian motion, and the G-Martingale representation theorem are introduced, providing readers with foundational knowledge in these areas of stochastic calculus.
