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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Showing 1 to 2 of 2 (0.061 seconds)

Spelling suggestions: "subject:"HJB sprunggleichungen"" "subject:"HJB matrixungleichungen""

1

Lévy-Type Processes under Uncertainty and Related Nonlocal Equations

Hollender, Julian 17 October 2016 (has links) (PDF)
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 Lévy-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.
Wahrscheinlichkeitstheorie
Analysis
Stochastische Analysis
Stochastische Prozesse
Risikomaße
Finanzmathematik
Risikomaße
Sublineare Erwartungswerte
Nichtlineare Erwartungswerte
Lévy-typ Prozesse
Nichtlokale Gleichungen
HJB Gleichungen
Knightian Uncertainty
Probability Theory
Analysis
Stochastic Analysis
Stochastic Processes
Risk Measures
Mathematical Finance
Risk Measures
Sublinear Expectation
Nonlinear Expectation
Lévy-Type Processes
Nonlocal Equations
HJB Equations
Knightian Uncertainty
ddc:510
rvk:SK 820
rvk:SK 980
2

Lévy-Type Processes under Uncertainty and Related Nonlocal Equations

Hollender, Julian 12 October 2016 (has links)
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 Lévy-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.
info:eu-repo/classification/ddc/510
ddc:510

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