Forward-Backward Stochastic Differential Equations and their Applications

Yong Jiongmin Ma Jin

ISBN 10: 3540659609 ISBN 13: 9783540659600

Published by Springer, 1999

Language: English

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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

Seller catalogs

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.

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.

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