Forward-backward stochastic differential equations and their applications
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...
| Otros Autores: | , |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer
[2007]
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| Edición: | 1st ed. 2007. |
| Colección: | Lecture notes in mathematics ;
1702. |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009462063906719 |
| Sumario: | 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. |
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| Notas: | Description based upon print version of record. |
| Descripción Física: | 1 online resource (284 p.) |
| Bibliografía: | Includes bibliographical references (p. [259]-268) and index. |
| ISBN: | 9781280853388 9786610853380 9783540488316 |
