Forward-Backward Stochastic Differential Equations and their Applications (häftad)
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Format
Häftad (Paperback / softback)
Språk
Engelska
Serie
Lecture Notes in Mathematics (del 1702)
Antal sidor
278
Utgivningsdatum
1999-06-21
Förlag
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Dimensioner
234 x 156 x 15 mm
Vikt
413 g
ISBN
9783540659600

Forward-Backward Stochastic Differential Equations and their Applications

av Jin Ma, Jiongmin Yong
Häftad,  Engelska, 1999-06-21
659
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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.

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