東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁 到查詢結果 [ subject:"Quantitative Finance." ]

切換: 標籤 | MARC模式 | ISBD

Nonlinear expectations and stochasti...

Peng, Shige.

FindBook

Google Book

Amazon

博客來

Nonlinear expectations and stochastic calculus under uncertainty = with robust CLT and G-Brownian motion /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Nonlinear expectations and stochastic calculus under uncertainty/ by Shige Peng.
其他題名:	with robust CLT and G-Brownian motion /
作者:	Peng, Shige.
出版者:	Berlin, Heidelberg :Springer Berlin Heidelberg : : 2019.,
面頁冊數:	xiii, 212 p. :ill., digital ;24 cm.
內容註:	Sublinear Expectations and Risk Measures -- Law of Large Numbers and Central Limit Theorem under Uncertainty -- G-Brownian Motion and Ito's Calculus -- G-Martingales and Jensen's Inequality -- Stochastic Differential Equations -- Capacity and Quasi-Surely Analysis for G-Brownian Paths -- G-Martingale Representation Theorem -- Some Further Results of Ito's Calculus -- Appendix A Preliminaries in Functional Analysis -- Appendix B Preliminaries in Probability Theory -- Appendix C Solutions of Parabolic Partial Differential Equation -- Bibliography -- Index of Symbols -- Subject Index -- Author Index.
Contained By:	Springer eBooks
標題:	Brownian motion processes. -
電子資源:	https://doi.org/10.1007/978-3-662-59903-7
ISBN:	9783662599037

Nonlinear expectations and stochastic calculus under uncertainty = with robust CLT and G-Brownian motion /
Peng, Shige.

Nonlinear expectations and stochastic calculus under uncertaintywith robust CLT and G-Brownian motion /[electronic resource] :by Shige Peng. - Berlin, Heidelberg :Springer Berlin Heidelberg :2019. - xiii, 212 p. :ill., digital ;24 cm. - Probability theory and stochastic modelling,v.952199-3130 ;. - Probability theory and stochastic modelling ;v.95..

Sublinear Expectations and Risk Measures -- Law of Large Numbers and Central Limit Theorem under Uncertainty -- G-Brownian Motion and Ito's Calculus -- G-Martingales and Jensen's Inequality -- Stochastic Differential Equations -- Capacity and Quasi-Surely Analysis for G-Brownian Paths -- G-Martingale Representation Theorem -- Some Further Results of Ito's Calculus -- Appendix A Preliminaries in Functional Analysis -- Appendix B Preliminaries in Probability Theory -- Appendix C Solutions of Parabolic Partial Differential Equation -- Bibliography -- Index of Symbols -- Subject Index -- Author Index.

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.

ISBN: 9783662599037

Standard No.: 10.1007/978-3-662-59903-7doiSubjects--Topical Terms:

646794
Brownian motion processes.

LC Class. No.: QA274.75 / .P464 2019

Dewey Class. No.: 519.233

Nonlinear expectations and stochastic calculus under uncertainty = with robust CLT and G-Brownian motion /
LDR:03195nmm a2200349 a 4500 001 2193329
003 DE-He213
005 20191223145400.0
006 m d
007 cr nn 008maaau
008 200514s2019 gw s 0 eng d
020 $a 9783662599037 $q (electronic bk.)
020 $a 9783662599020 $q (paper)
024 7 $a 10.1007/978-3-662-59903-7 $2 doi
035 $a 978-3-662-59903-7
040 $a GP $c GP
041 0 $a eng
050 4 $a QA274.75 $b .P464 2019
072 7 $a PBT $2 bicssc
072 7 $a MAT029000 $2 bisacsh
072 7 $a PBT $2 thema
072 7 $a PBWL $2 thema
082 0 4 $a 519.233 $2 23
090 $a QA274.75 $b .P398 2019
100 1 $a Peng, Shige. $3 3414433
245 1 0 $a Nonlinear expectations and stochastic calculus under uncertainty $h [electronic resource] : $b with robust CLT and G-Brownian motion / $c by Shige Peng.
260 $a Berlin, Heidelberg : $b Springer Berlin Heidelberg : $b Imprint: Springer, $c 2019.
300 $a xiii, 212 p. : $b ill., digital ; $c 24 cm.
490 1 $a Probability theory and stochastic modelling, $x 2199-3130 ; $v v.95
505 0 $a Sublinear Expectations and Risk Measures -- Law of Large Numbers and Central Limit Theorem under Uncertainty -- G-Brownian Motion and Ito's Calculus -- G-Martingales and Jensen's Inequality -- Stochastic Differential Equations -- Capacity and Quasi-Surely Analysis for G-Brownian Paths -- G-Martingale Representation Theorem -- Some Further Results of Ito's Calculus -- Appendix A Preliminaries in Functional Analysis -- Appendix B Preliminaries in Probability Theory -- Appendix C Solutions of Parabolic Partial Differential Equation -- Bibliography -- Index of Symbols -- Subject Index -- Author Index.
520 $a 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.
650 0 $a Brownian motion processes. $3 646794
650 1 4 $a Probability Theory and Stochastic Processes. $3 891080
650 2 4 $a Quantitative Finance. $3 891090
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer eBooks
830 0 $a Probability theory and stochastic modelling ; $v v.95. $3 3414434
856 4 0 $u https://doi.org/10.1007/978-3-662-59903-7
950 $a Mathematics and Statistics (Springer-11649)