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Backward stochastic differential equations

Author: Nicole El Karoui; Laurent Mazliak
Publisher: Harlow : Longman, 1997.
Series: Pitman research notes in mathematics series, 364.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

Presenting seminars given in 1995 and 1996 at the University of Paris VI, this text surveys the subject of backward stochastic differential equations. It may be read as an introduction to the topic  Read more...

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Genre/Form: Aufsatzsammlung
Document Type: Book
All Authors / Contributors: Nicole El Karoui; Laurent Mazliak
ISBN: 0582307333 9780582307339
OCLC Number: 36352179
Description: 221 pages ; 25 cm.
Contents: General results on BSDE --
Backward stochastic differential equations a general introduction --
A general result of existence and uniqueness of backward stochastic differential equations --
Forward-backward systems --
Solutions of forward-backward stochastic differential equations --
Stochastic control and BSDEs --
Stochastic control and BSDE's --
The maximum principle in stochastic control and backward equations --
BSDEs with continuous coefficients and stochastic differential games --
Observability cone of a constrained stochastic process.
Series Title: Pitman research notes in mathematics series, 364.
Responsibility: Nicole El Karoui and Laurent Mazliak (editors).
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