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Register a new userG-Brownian Motion and Dynamic Risk Measure under Volatility Uncertainty
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Shige Peng
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We introduce a new notion of G-normal distributions. This will bring us to a new framework of stochastic calculus of Itos type (Itos integral, Itos formula, Itos equation) through the corresponding G-Brownian motion. We will also present analytical calculations and some new statistical methods with application to risk analysis in finance under volatility uncertainty. Our basic point of view is: sublinear expectation theory is very like its special situation of linear expectation in the classical probability theory. Under a sublinear expectation space we still can introduce the notion of distributions, of random variables, as well as the notions of joint distributions, marginal distributions, etc. A particularly interesting phenomenon in sublinear situations is that a random variable Y is independent to X does not automatically implies that X is independent to Y. Two important theorems have been proved: The law of large number and the central limit theorem.
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