Backward Stochastic Differential Equations: From Linear to Fully Nonlinear Theory (Probability Theory and Stochastic Modelling, 86)

Zhang, Jianfeng

ISBN 10: 1493984322 / ISBN 13: 9781493984329

Published by Springer, 2018

About this Item

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Bibliographic Details

• Title: Backward Stochastic Differential Equations: From Linear to Fully Nonlinear Theory (Probability Theory and Stochastic Modelling, 86)
• Publisher: Springer
• Publication Date: 2018
• Language: English
• ISBN 10: 1493984322
• ISBN 13: 9781493984329
• Binding: Soft cover
• Condition: New

About this title

Synopsis

Provides a systematic study from linear equations to fully nonlinear equations

Includes up-to-date developments in the field

A powerful and convenient tool for financial engineering and stochastic optimization

Accessible to graduate students and junior researchers

About the Author

Jianfeng Zhang is a professor of Mathematics at the University of Southern California, Los Angeles.  His research interests include stochastic analysis, backward stochastic differential equations, stochastic numerics, and mathematical finance.