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Forward-Backward Stochastic Differential Equations and their Applications de Jin Ma

Forward-Backward Stochastic Differential Equations and their Applications: Lecture Notes in Mathematics, cartea 1702

Autor Jin Ma, Jiongmin Yong
en Limba Engleză Paperback – 21 iun 1999
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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Specificații

ISBN-13: 9783540659600
ISBN-10: 3540659609
Pagini: 292
Ilustrații: XIV, 278 p.
Dimensiuni: 155 x 235 x 17 mm
Greutate: 0.41 kg
Ediția:1999
Editura: Springer Berlin, Heidelberg
Colecția Springer
Seria Lecture Notes in Mathematics

Locul publicării:Berlin, Heidelberg, Germany

Public țintă

Research

Cuprins

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.

Textul de pe ultima copertă

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.

Caracteristici

Includes supplementary material: sn.pub/extras