English

Nonlinear Expectations and Stochastic Calculus under Uncertainty

Probability 2010-02-25 v1

Abstract

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.

Keywords

Cite

@article{arxiv.1002.4546,
  title  = {Nonlinear Expectations and Stochastic Calculus under Uncertainty},
  author = {Shige Peng},
  journal= {arXiv preprint arXiv:1002.4546},
  year   = {2010}
}

Comments

149 pages

R2 v1 2026-06-21T14:50:41.110Z