Seminar series
Date
Fri, 18 Jan 2013
16:00
16:00
Location
DH 1st floor SR
Speaker
Shige Peng
Organisation
Shandong University
The models of Brownian motion, Poisson processes, Levy processes and martingales are frequently used as basic formulations of prices in financial market. But probability and/or distribution uncertainties cause serious problems of robustness. Nonlinear expectations (G-Expectations) and the corresponding martingales are useful tools to solve them.