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

Ma, Jin; Yong, Jiongmin

 
9783540659600: Forward-Backward Stochastic Differential Equations and their Applications: 1702
Brossura
ISBN 10: 3540659609 ISBN 13: 9783540659600
Casa editrice: Springer, 2008

Sinossi

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

Dalla quarta di copertina

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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

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
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