Forward-Backward Stochastic Differential Equations and their Applications (häftad)

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Differentialkalkyl & differentialekvationer

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
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ISBN: 9783540659600

Forward-Backward Stochastic Differential Equations and their Applications

Name: Forward-Backward Stochastic Differential Equations and their Applications
Price: 661.00 SEK
Availability: InStock
Author: Jin Ma, Jiongmin Yong
ISBN: 9783540659600

av Jin Ma, Jiongmin Yong

Häftad, Engelska, 1999-06-21

661

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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.