Backward stochastic differential equation, nonlinear expectation and their applications

Proceedings of the International Congress of Mathematicians 2010, ICM 2010

Volumn , Issue , 2010, Pages 393-432

  Peng, Shige ^a  

^a SHANDONG UNIVERSITY   (China)

Author keywords

Backward stochastic differential equation; Brownian motion; G expectation; G martingale; It Integral and It 's calculus; Law of large numbers and central limit theory under uncertainty; Nonlinear expectation; Parabolic partial differential equation; Risk measure; Stochastic differential equation; Super hedging

Indexed keywords

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; CENTRAL LIMIT THEORY; G-EXPECTATION; G-MARTINGALE; NONLINEAR EXPECTATION; PARABOLIC PARTIAL DIFFERENTIAL EQUATIONS; RISK MEASURES; STOCHASTIC DIFFERENTIAL EQUATIONS; SUPER-HEDGING;

CALCULATIONS; HEALTH HAZARDS; NORMAL DISTRIBUTION; PARTIAL DIFFERENTIAL EQUATIONS;

BROWNIAN MOVEMENT;

EID: 84877879176     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

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