Forward-Backward Stochastic Differential Equations and their Applications [electronic resource] / by Jin Ma, Jiongmin Yong.
- Berlin, Heidelberg : Springer Berlin Heidelberg, 2007.
- Lecture Notes in Mathematics, 0075-8434 ; 1702
Lecture Notes in Mathematics, 0075-8434 ; 1702
1 online resource (XIV, 278 pages)
- Global analysis (Mathematics).
Distribution (Probability theory.
- Local subjects:
- Analysis. (search)
Probability Theory and Stochastic Processes. (search)
Quantitative Finance. (search)
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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.
- Linear Equations
Method of Optimal Control
Four Step Scheme
Linear, Degenerate Backward Stochastic Partial Di erential Equations
The Method of Continuation
FBSDEs with Reflections
Applications of FBSDEs
Numerical Methods for FBSDEs.
- Yong, Jiongmin. author., Author,
SpringerLink (Online service)
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- Springer eBooks
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- Printed edition:
- Publisher Number:
- 10.1007/978-3-540-48831-6 doi
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- Restricted for use by site license.
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