Forward-Backward Stochastic Differential Equations and their Applications: 1702 - Brossura

Ma, Jin; Yong, Jiongmin

Brossura

ISBN 10: 3540659609 ISBN 13: 9783540659600

Casa editrice: Springer, 2008

Riassunto

This volume is a survey/monograph on the recently developed theory of forward-backward stochastic differential equations (FBSDEs). Basic techniques such as the method of optimal control, the 'Four Step Scheme', and the method of continuation are presented in full. Related topics such as backward stochastic PDEs and many applications of FBSDEs are also discussed in detail. The volume is suitable for readers with basic knowledge of stochastic differential equations, and some exposure to the stochastic control theory and PDEs. It can be used for researchers and/or senior graduate students in the areas of probability, control theory, mathematical finance, and other related fields.

Dettagli dell?edizione

• Editore: Springer
• Data di pubblicazione: 2008
• Lingua: Inglese
• ISBN 10: 3540659609
• ISBN 13: 9783540659600
• Rilegatura: Copertina flessibile
• Numero edizione: 1
• Numero di pagine: 288
• Contatto del produttore: non disponibile
• Persona responsabile: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Germania