Forward-Backward Stochastic Differential Equations and Their Applications

✍ Scribed by Jin Ma, Jiongmin Yong

• Publisher: Springer
• Year: 2007
• Tongue: English
• Leaves: 281
• Series: Lecture Notes in Mathematics
• Edition: Corrected
• Category: Library

✦ Synopsis

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.

✦ 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

✦ Subjects

Математика;Дифференциальные уравнения;