Forward-Backward Stochastic Differential Equations and their Applications - Couverture souple

Ma, Jin; Yong, Jiongmin

 
9783540659600: Forward-Backward Stochastic Differential Equations and their Applications
Couverture souple
ISBN 10 : 3540659609 ISBN 13 : 9783540659600
Editeur : Springer, 2008

Synopsis

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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Éditeur
Springer
Date d'édition
2008
Langue
anglais
ISBN 10 
3540659609
ISBN 13 
9783540659600
Reliure
Broché
Numéro d'édition
1
Nombre de pages
288
Coordonnées du fabricant
non disponible
Personne responsable
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