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Forward-Backward Stochastic Differential Equations and their Applications

Name: Forward-Backward Stochastic Differential Equations and their Applications
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 04333699
Price: 59.09 EUR
Availability: InStock
Author: Jin Ma
ISBN: 9783540659600

Jin Ma

Language

English

Book Paperback

Libristo code: 04333699

Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, June 1999

This volume is a survey/monograph on the recently developed theory of forward-backward stochast... Full description

Libristo code: 04333699

145 b

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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.