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Jin Ma & Jiongmin Yong
Forward-Backward Stochastic Differential Equations and their Applications [PDF ebook]

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Capa do Jin Ma & Jiongmin Yong: Forward-Backward Stochastic Differential Equations and their Applications (PDF)

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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Língua Inglês ● Formato PDF ● ISBN 9783540488316 ● Editora Springer Berlin Heidelberg ● Publicado 2007 ● Carregável 3 vezes ● Moeda EUR ● ID 6376982 ● Proteção contra cópia Adobe DRM

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