Forward-Backward Stochastic Differential Equations and their Applications (Lecture Notes in Mathematics, 1702)

Ma, Jin; Yong, Jiongmin

ISBN 10: 3540659609 / ISBN 13: 9783540659600

Published by Springer, 1999

Item in good condition. Textbooks may not include supplemental items i.e. CDs, access codes etc. Seller Inventory # 00081362389

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.

From the Back Cover: 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.

Bibliographic Details

Title: Forward-Backward Stochastic Differential ...
Publisher: Springer
Publication Date: 1999
Binding: Soft cover
Condition: Good