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

Ma, Jin; Yong, Jiongmin

 
9783540659600: Forward-Backward Stochastic Differential Equations and their Applications (Lecture Notes in Mathematics, 1702, Band 1702)
Softcover
ISBN 10: 3540659609 ISBN 13: 9783540659600
Verlag: Springer, 2008

Inhaltsangabe

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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Von der hinteren Coverseite

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.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
Springer
Erscheinungsdatum
2008
Sprache
Englisch
ISBN 10 
3540659609
ISBN 13 
9783540659600
Einband
Taschenbuch
Anzahl der Seiten
288
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