Forward-backward stochastic differential equations and their applications / Jin Ma, Jingmin Yong.
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 ba...
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| Main Authors: | , |
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| Format: | Ebook |
| Language: | English |
| Published: |
Berlin ; New York :
Springer,
[2007]
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| Edition: | Corrected 3rd print. |
| Series: | Lecture notes in mathematics (Springer-Verlag) ;
1702. |
| Subjects: | |
| Online Access: | Springer eBooks |
| Summary: | 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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| Physical Description: | 1 online resource (xiii, 270 pages) : illustrations. |
| Format: | Mode of access: World Wide Web. |
| Bibliography: | Includes bibliographical references and index. |
| ISBN: | 1280853387 3540488316 9781280853388 9783540488316 |
| ISSN: | 0075-8434 ; |