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portada forward-backward stochastic differential equations and their applications
Formato
Libro Físico
Autor
Idioma
Inglés
N° páginas
274
ISBN
3540659609
ISBN13
9783540659600
Categorías

forward-backward stochastic differential equations and their applications

Ma,Yong (Autor) · springer publishing map · Libro Físico

forward-backward stochastic differential equations and their applications - ma,yong

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Reseña del libro "forward-backward stochastic differential equations and their applications"

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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