The Structure and Properties of Martingales under Nonlinear Expectation

  • [2017-03-21]


    SONG Yongsheng

    Chinese Academy of mathematics and Systems Science

    Time: 2017-04-01 15:00-16:00
    Place: Room 1518, School of Mathematical Sciences


    As is known, martingales are a class of very important processes in the probability space. Under the nonlinear expectation introduced by Shige Peng, the structure of martingales is much more complicated than that of the classical ones. For example, the continuous martingales with finite variation are not trivial processes any more. In this talk, I shall give an introduction to the structure and properties of martingales under nonlinear expectation.

    Organizer:  School of Mathematical Sciences



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