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Forward-Backward Stochastic Differential Equations and Their Applications

✍ Scribed by Jin Ma, Jiongmin Yong

Book ID
127449584
Publisher
Springer
Year
2007
Tongue
English
Weight
10 MB
Series
Lecture Notes in Mathematics
Edition
Corrected
Category
Library
ISBN
3540659609

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✦ 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.

✦ Subjects

Дифференциальные уравнения

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