Cantitate/Preț
Produs

Backward Stochastic Differential Equations: From Linear to Fully Nonlinear Theory: Probability Theory and Stochastic Modelling, cartea 86

Autor Jianfeng Zhang
en Limba Engleză Paperback – 3 aug 2018
This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, second order backward stochastic differential equations, and path dependent partial differential equations. Their main applications and numerical algorithms, as well as many exercises, are included.
The book focuses on ideas and clarity, with most results having been solved from scratch and most theories being motivated from applications. It can be considered a starting point for junior researchers in the field, and can serve as a textbook for a two-semester graduate course in probability theory and stochastic analysis. It is also accessible for graduate students majoring in financial engineering.
Citește tot Restrânge

Toate formatele și edițiile

Toate formatele și edițiile Preț Express
Paperback (1) 46751 lei  38-44 zile
  Springer – 3 aug 2018 46751 lei  38-44 zile
Hardback (1) 57849 lei  43-57 zile
  Springer – 22 aug 2017 57849 lei  43-57 zile

Din seria Probability Theory and Stochastic Modelling

Preț: 46751 lei

Nou

Puncte Express: 701

Preț estimativ în valută:
8948 9326$ 7449£

Carte tipărită la comandă

Livrare economică 01-07 ianuarie 25

Preluare comenzi: 021 569.72.76

Specificații

ISBN-13: 9781493984329
ISBN-10: 1493984322
Pagini: 388
Ilustrații: XVI, 388 p.
Dimensiuni: 155 x 235 mm
Ediția:Softcover reprint of the original 1st ed. 2017
Editura: Springer
Colecția Springer
Seria Probability Theory and Stochastic Modelling

Locul publicării:New York, NY, United States

Cuprins

Preliminaries.- Part I The Basic Theory of SDEs and BSDEs.- Basics of Stochastic Calculus.- Stochastic Differential Equations.- Backward Stochastic Differential Equations.- Markov BSDEs and PDEs.- Part II Further Theory of BSDEs.- Reflected BSDEs.- BSDEs with Quadratic Growth in Z.- Forward Backward SDEs.- Part III The Fully Nonlinear Theory of BSDEs.- Stochastic Calculus Under Weak Formulation.- Nonlinear Expectation.- Path Dependent PDEs.- Second Order BSDEs.. Bibliography.- Index.

Recenzii

“This book (written by one of the leading experts in the field) constitutes a very handy and self-contained resource on BSDEs, both for people who want to get acquainted with the theory of BSDEs and Ph.D. students who aim to work in this field. … Overall the book is very well written and pleasant to read, and will likely become a classical reference on the topic.” (Anthony Réveillac, Mathematical Reviews, December, 2018)

“The book prefers clarity over generality in order to be more accessible and readable for the readers who are expected to be mainly Ph.D. students and junior researches in stochastic analysis.” (Martin Ondreját, zbMATH 1390.60004, 2018)


Notă biografică

Jianfeng Zhang is a professor of Mathematics at the University of Southern California, Los Angeles.  His research interests include stochastic analysis, backward stochastic differential equations, stochastic numerics, and mathematical finance.

Textul de pe ultima copertă

This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, second order backward stochastic differential equations, and path dependent partial differential equations. Their main applications and numerical algorithms, as well as many exercises, are included.
The book focuses on ideas and clarity, with most results having been solved from scratch and most theories being motivated from applications. It can be considered a starting point for junior researchers in the field, and can serve as a textbook for a two-semester graduate course in probability theory and stochastic analysis. It is also accessible for graduate students majoring in financial engineering.

Caracteristici

Provides a systematic study from linear equations to fully nonlinear equations Includes up-to-date developments in the field A powerful and convenient tool for financial engineering and stochastic optimization Accessible to graduate students and junior researchers Includes supplementary material: sn.pub/extras