Forward-Backward Stochastic Differential Equations and their Applications. (Lecture Notes in Mathematics, 1702(.

Ma, Jin und Jiongmin Yong,

ISBN 10: 3540659609 / ISBN 13: 9783540659600

Editore: Springer, 1999

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288 p. Seiten Ex-Library book in good condition. 9783540659600 Sprache: Englisch Gewicht in Gramm: 522.

Codice articolo 1398468

Dati bibliografici

• Titolo: Forward-Backward Stochastic Differential Equations and their Applications. (Lecture Notes in Mathematics, 1702(.
• Editore: Springer
• Data di pubblicazione: 1999
• Lingua: Inglese
• ISBN 10: 3540659609
• ISBN 13: 9783540659600
• Rilegatura: Brossura
• Peso: 522 grammi
• Cataloghi dei venditori:
  • X Medizin

Descrizione articolo

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.