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Nonlinear Expectations and Stochastic Calculus under Uncertainty · Study

BookNonlinear Expectations and Stochastic Calculus under Uncertainty

Shige Peng A2019

Book2019

Nonlinear Expectations and Stochastic Calculus under Uncertainty

594 citations·0/0 files stored·Probability theory and stochastic modelling

No readable copy stored yet — this record is metadata only.

Stochastic processes and financial applications Risk and Portfolio Optimization Fuzzy Systems and Optimization

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 594 citations exist upstream.

References

1999Coherent Measures of Risk 2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 2005Stochastic Integration and Differential Equations 1983Stochastic Differential Equations and Diffusion Processes 2003Stochastic Differential Equations 2005Controlled Markov Processes and Viscosity Solutions 1990Adapted solution of a backward stochastic differential equation

Cited by

2019Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations 2015Arbitrage and duality in nondominated discrete-time models 2013Ambiguous Volatility and Asset Pricing in Continuous Time 2008Quadratic BSDEs with convex generators and unbounded terminal conditions 2013Comparison theorem, Feynman–Kac formula and Girsanov transformation for BSDEs driven by G -Brownian motion 2013Ambiguous volatility, possibility and utility in continuous time 2013Backward stochastic differential equations driven by G -Brownian motion 2016Lyapunov-type conditions and stochastic differential equations driven by G-Brownian motion

Details

Year2019

Typebook

Published2019-01-01

VenueProbability theory and stochastic modelling

ISSN-L2199-3130

Languageen

Citations594

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/978-3-662-59903-7

openalex_workW2097216668

Links

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