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Forward-Backward Stochastic Differential Equations and Their Applications : Lecture Notes in Mathematics - J. Ma

Forward-Backward Stochastic Differential Equations and Their Applications

Lecture Notes in Mathematics

Paperback Published: 13th April 2007
ISBN: 9783540659600
Number Of Pages: 278

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This book 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 book is suitable for readers with basic knowledge of stochastic differential equations, and some exposure to the stochastic control theory and PDEs. The book can be used for researchers and/or senior graduate students in the areas of probability, control theory, mathematical finance, and other related fields.

Preface
Introduction
Linear Equations
Method of Optimal Control
Four Step Scheme
Linear, Degenerate Backward Stochastic Partial Differential Equations
The Method of Continuation
FBSDEs with Reflections
Applications of FBSDEs
Numerical Methods for FBSDEs
Comments and Remarks
References
Index
Table of Contents provided by Publisher. All Rights Reserved.

ISBN: 9783540659600
ISBN-10: 3540659609
Series: Lecture Notes in Mathematics
Audience: General
Format: Paperback
Language: English
Number Of Pages: 278
Published: 13th April 2007
Publisher: Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
Country of Publication: DE
Dimensions (cm): 23.39 x 15.6  x 1.55
Weight (kg): 0.41
Edition Type: Revised