<span>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 backwa
Forward-Backward Stochastic Differential Equations and their Applications (Lecture Notes in Mathematics)
β Scribed by Jin Ma, Jiongmin Yong
- Publisher
- Springer
- Year
- 1999
- Tongue
- English
- Leaves
- 281
- Series
- Lecture Notes in Mathematics
- Edition
- Corrected
- Category
- Library
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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 sto
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
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