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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.
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.
Provides new notions and results of the theory of nonlinear expectations and related stochastic analysis
Summarizes the latest studies on G-Martingale representation theorem and Itô's integrals
Includes exercises that help reader master and learn in each chapter
| Erscheinungsjahr: | 2019 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik, Medizin, Naturwissenschaften, Technik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Inhalt: |
xiii
212 S. 10 s/w Illustr. 212 p. 10 illus. |
| ISBN-13: | 9783662599020 |
| ISBN-10: | 3662599023 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Peng, Shige |
| Auflage: | 1st edition 2019 |
| Hersteller: |
Springer Berlin
Springer Berlin Heidelberg |
| Verantwortliche Person für die EU: | Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com |
| Maße: | 241 x 160 x 18 mm |
| Von/Mit: | Shige Peng |
| Erscheinungsdatum: | 19.09.2019 |
| Gewicht: | 0,512 kg |
Provides new notions and results of the theory of nonlinear expectations and related stochastic analysis
Summarizes the latest studies on G-Martingale representation theorem and Itô's integrals
Includes exercises that help reader master and learn in each chapter
| Erscheinungsjahr: | 2019 |
|---|---|
| Fachbereich: | Wahrscheinlichkeitstheorie |
| Genre: | Mathematik, Medizin, Naturwissenschaften, Technik |
| Rubrik: | Naturwissenschaften & Technik |
| Medium: | Buch |
| Inhalt: |
xiii
212 S. 10 s/w Illustr. 212 p. 10 illus. |
| ISBN-13: | 9783662599020 |
| ISBN-10: | 3662599023 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Autor: | Peng, Shige |
| Auflage: | 1st edition 2019 |
| Hersteller: |
Springer Berlin
Springer Berlin Heidelberg |
| Verantwortliche Person für die EU: | Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com |
| Maße: | 241 x 160 x 18 mm |
| Von/Mit: | Shige Peng |
| Erscheinungsdatum: | 19.09.2019 |
| Gewicht: | 0,512 kg |
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