Forward-backward stochastic differential equations and their applications
Author(s)
Bibliographic Information
Forward-backward stochastic differential equations and their applications
（Lecture notes in mathematics, 1702）
Springer, c1999
Available at / 100 libraries
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Library, Research Institute for Mathematical Sciences, Kyoto University数研
L/N||LNM||1702RM990701
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Note
Includes bibliographical references (p. [259]-268) and index
"corrected 3rd printing" is c2007
Description and Table of Contents
Description
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.
Table of Contents
Linear Equations.- Method of Optimal Control.- Four Step Scheme.- Linear, Degenerate Backward Stochastic Partial Di erential Equations.- The Method of Continuation.- FBSDEs with Reflections.- Applications of FBSDEs.- Numerical Methods for FBSDEs.
by "Nielsen BookData"
