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Forward-Backward Stochastic Differential Equations and their Applications: 1702 (Lecture Notes in Mathematics, 1702) - Softcover
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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From the Back Cover
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.
"About this title" may belong to another edition of this title.
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Forward-Backward Stochastic Differential Equations and their Applications. (Lecture Notes in Mathematics, 1702(.
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Forward-Backward Stochastic Differential Equations and their Applications (Lecture Notes in Mathematics, 1702)
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Forward-Backward Stochastic Differential Equations and their Applications (Lecture Notes in Mathematics, 1702)
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Forward-Backward Stochastic Differential Equations and Their Applications
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Forward-Backward Stochastic Differential Equations and their Applications (Lecture Notes in Mathematics).
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Berlin, Heidelberg: Springer-Verlag, 1999
ISBN 10: 3540659609
ISBN 13: 9783540659600
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Forward-Backward Stochastic Differential Equations and Their Applications
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Forward-Backward Stochastic Differential Equations and their Applications
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