Forward-Backward Stochastic Differential Equations and their Applications

✍ Scribed by Jin Ma, Jiongmin Yong

• Publisher: Springer
• Year: 1999
• Tongue: English
• Leaves: 281
• Series: Lecture Notes in Mathematics
• Edition: Corrected
• Category: Library

✦ Synopsis

The book deals with forward-backward stochastic differential equations, exactly what the title suggests. The prerequisites in stochastic processes are modest, knowledge at the level of Oksendal's Stochastic differential Eqiuations is more than sufficient.The proofs are detailed enough, so that they are mostly easy to follow.Generally, the subject matter is well motivated, an exception being chapter 5 (it is apparently needed for applying the four-step scheme in the coefficients are random, but I never got the connection.)It would have been helpful if more of the symbols used had been defined. There is a page near the beginning of the book, where some symbols are defined, but adding another page or two would render the book more easy to read.The book contains a fair number of typos, mostly of a harmless nature. (This is surprising as I read the "third corrected printing")Overall, I recommend it to anybody interested in this subject.

✦ Table of Contents

front-matter......Page 1
1Introduction......Page 12
2Linear equations......Page 36
32Method of optimal control......Page 62
4Four step scheme......Page 91
5Linear, degenerate backward stochastic partial differential equations......Page 114
6Method of continuation......Page 148
7Forward-backward SDEs with reflections......Page 180
8Applications of FBSDEs......Page 204
9Numerical methods for FBSDEs......Page 246
back-matter......Page 268