grant

G-expectation and its applications to nonlinear risk management [ 2013-01-01 - 2018-12-31 ]

Research Grant

[Cite as http://purl.org/au-research/grants/arc/DP130103517]

Researchers: Prof Robert Elliott (Chief Investigator) ,  A/Prof Tak Kuen Siu (Chief Investigator) ,  A/Prof Shige Peng (Partner Investigator)

Brief description G-expectation and its applications to nonlinear risk management. 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.

Funding Amount $405,000

Funding Scheme Discovery Projects

View this grant in the ARC Data Portal

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