This is a survey on normal distributions and the related central limit theorem under sublinear expectation.We also present Brownian motion under sublinear expectations and the related stochastic calculus of It's type.The results provide new and robust tools for the problem of probability model uncertainty arising in financial risk,statistics and other industrial problems.
PENG ShiGe Institute of Mathematics,Shandong University,Jinan 250100,China
The authors get a maximum principle for one kind of stochastic optimization problem motivated by dynamic measure of risk. The dynamic measure of risk to an investor in a financial market can be studied in our framework where the wealth equation may have nonlinear coefficients.
＜正＞The partially observed control problem is considered for backward doubly stochastic systems with control en...
ZHU Qingfeng~(1,2),WANG Tianxiao~2,SHI Yufeng~2 1.School of Statistics and Mathematics,Shandong University of Finance,Jinan 250014,P.R.China 2.School of Mathematics,Shandong University,Jinan 250100,P.R.China
＜正＞This paper is concerned with a partial information control problem in which the controlled system is descri...
WANG Tianxiao~1,ZHU Qingfeng~(1,2),SHI Yufeng~1 1.School of Mathematics,Shandong University,Jinan 250100,P.R.China 2.School of Statistics and Mathematics,Shandong University of Finance,Jinan 250014,P.R.China
