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• W2123244041 abstract "We give a survey of the developments in the theory of Backward Stochastic Differential Equations during the last 20 years, including the solutions’ existence and uniqueness, comparison theorem, nonlinear Feynman-Kac formula, g-expectation and many other important results in BSDE theory and their applications to dynamic pricing and hedging in an incomplete financial market. We also present our new framework of nonlinear expectation and its applications to financial risk measures under uncertainty of probability distributions. The generalized form of law of large numbers and central limit theorem under sublinear expectation shows that the limit distribution is a sublinear Gnormal distribution. A new type of Brownian motion, G-Brownian motion, is constructed which is a continuous stochastic process with independent and stationary increments under a sublinear expectation (or a nonlinear expectation)." @default.
• W2123244041 created "2016-06-24" @default.
• W2123244041 creator A5082334771 @default.
• W2123244041 date "2011-06-01" @default.
• W2123244041 modified "2023-09-26" @default.
• W2123244041 title "Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications" @default.
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