Forward-Backward Stochastic Differential Equations and their Applications

Jiongmin Yong Jin Ma

ISBN 10: 3540659609 / ISBN 13: 9783540659600

Published by Springer, 1999

About this Item

pp. 292.

Seller Inventory # 26355135

Bibliographic Details

• Title: Forward-Backward Stochastic Differential Equations and their Applications
• Publisher: Springer
• Publication Date: 1999
• Language: English
• ISBN 10: 3540659609
• ISBN 13: 9783540659600
• Binding: Soft cover
• Condition: New

About this title

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.