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...

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Bibliographic Details
Other Authors: Ma, Jin, 1956- author (author), Yong, J. (Jiongmin), 1958- author
Format: eBook
Language:Inglés
Published: Berlin, Heidelberg : Springer [2007]
Edition:1st ed. 2007.
Series:Lecture notes in mathematics ; 1702.
Subjects:
See on Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009462063906719
Description
Summary: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.
Item Description:Description based upon print version of record.
Physical Description:1 online resource (284 p.)
Bibliography:Includes bibliographical references (p. [259]-268) and index.
ISBN:9781280853388
9786610853380
9783540488316