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G-expectation and its applications to nonlinear risk management

The University of Adelaide
Australian Research Council
Elliott, Prof Robert J; Siu, A/Prof Tak Kuen; Peng, A/Prof Shige

Project Summary

This project will develop novel theories and methods for nonlinear risk management based on nonlinear expectations and Backward Stochastic Differential Equations. The expected outcomes of the project will place Australia in the forefront and the leading position of these fields.

Professor Robert Elliott (email)
School of Mathematical Sciences
The University of Adelaide
Business: (08) 8303 6184