Nonlinear Expectations and Stochastic Calculus under Uncertainty

In this book, we introduce a new approach of sublinear expectation to deal with the problem of probability and distribution model uncertainty. We a new type of (robust) normal distributions and the related central limit theorem under sublinear expectation. We also present a new type of Brownian motion under sublinear expectations and the related stochastic calculus of Ito's type. The results provide robust tools for the problem of probability model uncertainty arising from financial risk management, statistics and stochastic controls.

• Publication year

  2010

• Venue

  Probability Theory and Stochastic Modelling

• Publication date

  2010-02-24

• Fields of study

  Mathematics, Business

• Identifiers
  DOI 10.1007/978-3-662-59903-7arXiv 1002.4546
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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