New developments on nonlinear expectations
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Organizer(s): |
Name:
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Affiliation:
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Country:
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Shige Peng
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Shandong University
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Peoples Rep of China
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Juan Li
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Shandong University
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Peoples Rep of China
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Introduction:
| | Motivated by uncertainty problems, risk measures and the super-hedging in finance, Shige Peng introduced a fully nonlinear expectation, called G-expectation, which effectively characterize the Knightian uncertainty of data. Under the G-expectation framework a new type of Brownian motion, the so-called G-Brownian motion, has been introduced and the stochastic calculus with respect to the G-Brownian motion has been developed. The G-expectation theory has been widely used to evaluate random outcomes with model ambiguity, not using a single probability measure, but using the supremum over a family of possibly mutually singular probability measures. The theory of nonlinear expectations has been developing very dynamically thanks to its many typical applications, so in economics, finance, information and computation science and many other domains. In our symposium we will study some new developments on nonlinear expectations.
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