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: | , |
|---|---|
| Format: | Ebook |
| Language: | English |
| Published: |
Berlin ; New York :
Springer,
[2007]
|
| Edition: | Corrected 3rd print. |
| Series: | Lecture notes in mathematics (Springer-Verlag) ;
1702. |
| Subjects: | |
| Online Access: | Springer eBooks |
MARC
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| 011 | |a EDS Title: Forward-Backward Stochastic Differential Equations and their Applications | ||
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| 100 | 1 | |a Ma, Jin, |d 1956- |e author. |9 438862 | |
| 245 | 1 | 0 | |a Forward-backward stochastic differential equations and their applications / |c Jin Ma, Jingmin Yong. |
| 250 | |a Corrected 3rd print. | ||
| 264 | 1 | |a Berlin ; |a New York : |b Springer, |c [2007] | |
| 264 | 4 | |c ©2007 | |
| 300 | |a 1 online resource (xiii, 270 pages) : |b illustrations. | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a Lecture notes in mathematics, |x 0075-8434 ; |v 1702 | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a 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. | |
| 520 | |a 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. | ||
| 538 | |a Mode of access: World Wide Web. | ||
| 588 | |a Machine converted from AACR2 source record. | ||
| 588 | 0 | |a Print version record. | |
| 650 | 0 | |a Stochastic differential equations. |9 329600 | |
| 700 | 1 | |a Yong, J. |q (Jiongmin), |d 1958- |e author. |9 253339 | |
| 776 | 0 | 8 | |i Print version: |a Ma, Jin, 1956- |t Forward-backward stochastic differential equations and their applications. |b Corr. 3rd print. |d Berlin ; New York : Springer, ©2007 |z 9783540659600 |z 3540659609 |w (DLC) 2007923869 |w (OCoLC)182060620 |
| 776 | 1 | 8 | |w (OCoLC)311035044 |
| 830 | 0 | |a Lecture notes in mathematics (Springer-Verlag) ; |v 1702. |9 1047047 | |
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