Backward stochastic differential equations
著者
書誌事項
Backward stochastic differential equations
（Pitman research notes in mathematics series, 364）
Addison Wesley Longman, c1997
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内容説明・目次
内容説明
This book presents the texts of seminars presented during the years 1995 and 1996 at the Universite Paris VI and is the first attempt to present a survey on this subject. Starting from the classical conditions for existence and unicity of a solution in the most simple case-which requires more than basic stochartic calculus-several refinements on the hypotheses are introduced to obtain more general results.
目次
General Results on BSDE
Forward-Backward Systems
Stochastic Control and BSDE
Extensions and Applications
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