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Levy-Type Processes Under Uncertainty and Related Nonlocal Equations



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Levy-Type Processes Under Uncertainty and Related Nonlocal Equations by Julian Hollender
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The theoretical study of nonlinear expectations is the focus of attention for applications in a variety of different fields - often with the objective to model systems under incomplete information. Especially in mathematical finance, advances in the theory of sublinear expectations (also referred to as coherent risk measures) lay the theoretical foundation for modern approaches to evaluations under the presence of Knightian uncertainty. In this book, we introduce and study a large class of jump-type processes for sublinear expectations, which can be interpreted as Levy-type processes under uncertainty in their characteristics. Moreover, we establish an existence and uniqueness theory for related nonlinear, nonlocal Hamilton-Jacobi-Bellman equations with non-dominated jump terms."
Release date Australia
October 12th, 2016
Country of Publication
United States
black & white illustrations
Createspace Independent Publishing Platform
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