Nonlinear Expectations and Stochastic Calculus under Uncertainty
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Publication:5194781
DOI10.1007/978-3-662-59903-7zbMath1427.60004OpenAlexW2097216668MaRDI QIDQ5194781
Publication date: 17 September 2019
Published in: Probability Theory and Stochastic Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-662-59903-7
uncertaintycapacitystochastic differential equationsnonlinear partial differential equationsviscosity solutionsrisk measures\(G\)-Brownian motionnonlinear expectationItô's calculus\(G\)-martingale
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Degenerate parabolic equations (35K65) General theory of stochastic processes (60G07) Stochastic integrals (60H05) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
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