Nonlinear expectation theory and stochastic calculus under Knightian uncertainty | |
Peng S. | |
刊名 | Real Options, Ambiguity, Risk and Insurance: World Class University Program in Financial Engineering, Ajou University, Volume Two
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2013 | |
页码 | 144-184 |
关键词 | Allais paradox Ambiguity Backward stochastic differential equation Brownian motion Ellsberg paradox G-expectation G-expectation G-martingale G-martingale Itô integral and itô's calculus Knightian uncertainty Law of large numbers and central limit theory under uncertainty Nonlinear expectation Parabolic partial differential equation Risk measure Stochastic differential equation Super-hedging Uncertainty in economic theory Vnmexpected utility theory |
DOI | 10.3233/978-1-61499-238-7-144 |
URL标识 | 查看原文 |
内容类型 | 期刊论文 |
URI标识 | http://www.corc.org.cn/handle/1471x/5163594 |
专题 | 山东大学 |
作者单位 | School of Mathematics, Shandong University, Jinan, 250100, China |
推荐引用方式 GB/T 7714 | Peng S.. Nonlinear expectation theory and stochastic calculus under Knightian uncertainty[J]. Real Options, Ambiguity, Risk and Insurance: World Class University Program in Financial Engineering, Ajou University, Volume Two,2013:144-184. |
APA | Peng S..(2013).Nonlinear expectation theory and stochastic calculus under Knightian uncertainty.Real Options, Ambiguity, Risk and Insurance: World Class University Program in Financial Engineering, Ajou University, Volume Two,144-184. |
MLA | Peng S.."Nonlinear expectation theory and stochastic calculus under Knightian uncertainty".Real Options, Ambiguity, Risk and Insurance: World Class University Program in Financial Engineering, Ajou University, Volume Two (2013):144-184. |
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