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Reading Course: Nonlinear Expectations

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Reading Course: Nonlinear Expectations


We meet regularly during the summer term 2014 on

  • Wednesday at 15.30 in 46-268.




General Information

This is a reading course on nonlinear expectations and the associated stochastic calculus, based mainly on the monograph

The relevant material is available for download from inside the University's network.

The slides from meeting 01 can be found here: Risk Measures, Backward SDEs and g-Expectations.

The slides from meeting 09 can be found here: Option Pricing under the Threat of Crashes.

The reading course will be supervised jointly by Prof. Dr. Jörn Saß and JProf. Dr. Frank Seifried.




Date Meeting Reading Topic
W19 2014/05/07 01 §1-§2.1 Introduction and Overview
W20 2014/05/14 02 §2.2-§3.1 Nonlinear Expectations in a Brownian Setting and BSDEs
W21 2014/05/21 03 §3.1-§3.2, p. 189 Existence and Comparison of BSDEs
W22 2014/05/28 04 §3.2, p. 192 Black-Scholes Valuation, g-expectations
W23 2014/06/04 05 §3.2, p. 198 Upcrossing Inequality and Optional Sampling
W24 2014/06/11 06 §3.3 Monotonic Limit Theorem
W25 2014/06/18 07 §7.2 Monotonic Limit Theorem for Ito Processes
W26 2014/06/25 08 §7.2, §3.4 Monotonic Limit Theorem and g-Supermartingale Decomposition
W27 2014/07/02 09 §4.1 Dominated F-Expectations
W28 2014/07/09 10 §4.2-§4.3 Martingales and BSDEs under Nonlinear Expectations
W29 2014/07/16 11 §4.4-§5 Representation of Nonlinear Expectations as g-Expectations