Backward stochastic differential equations
Author(s)
Bibliographic Information
Backward stochastic differential equations
(Pitman research notes in mathematics series, 364)
Addison Wesley Longman, c1997
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Description and Table of Contents
Description
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.
Table of Contents
General Results on BSDE
Forward-Backward Systems
Stochastic Control and BSDE
Extensions and Applications
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