Nonlinear Brownian motion, nonlinear martingales and Path-dependent partial differential equations

Shige Peng (Shandong University)

Frank Adams 2,

The notion of nonlinear expectation is a sharp tool to deal with problems with probability model uncertainty.
Nonlinear Brownian motion, also called G-Brownian motion, a foundamental stochastic process in the theory of nonlinear expectation.
We present our recent results of path-dependent PDE dirived from the corresponding nonlinear martingales under the filtration generated by nonlinear Brownian motion.

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