Abstract: Nonlinear Brownian motion and the corresponding stochastic calculus provide powerful tools to study and calculate uncertainties of our real world. This theory is based on the framework of nonlinear expectation. We will show that, many important uncertain risks which are neglected within a classical framework of probability can be quantitatively calculated by this new tool.

This series of lectures is organized as follows:
1. Introduction to nonlinear expectation and nonlinear Brownian motion.
2. Stochastic calculus with respect to the nonlinear Brownian motion.
3. Some recent progress of nonlinear martingales, and backward stochastic differential equations driven by G-Brownian motion, path-dependent partial differential equations.
4. Application to continuous-time dynamic risk measures and robust modeling and pricing in financial markets.

Speaker：Shige Peng（彭实戈院士）

Time：Nov.17, 21, 25, 27, Morning 10:00 am to 11:30am

Venue：Mathematics center Quan Zhai 9 classroom