Forward-backward stochastic differential equations and their applications
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Author
Contributions
- Yong, J. 1958- - Contributor
Publication
1999 - Springer, Berlin
Language
English
Word Count
67,500 words, Guess
Page Count
270 pages
Identifiers
- Open LibraryOL37077M
- ISBN-103540659609
- OCLC Control Number504554602
- OCLC Control Number41315381
- Internet Archiveforwardbackwards00maji
and 3 more
- Library of Congress Control Number99023640
- LibraryThing8804249
- Goodreads1210052
Classifications
- DDC510 s
- LCCQA3 .L28 no. 1702
- LCCQA274.23 .L28 no. 1702
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.
Subjects
Topics
Series Statement
- Lecture notes in mathematics,
Other Editions
- Forward-backward stochastic differential equations and their applications
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