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Forward-backward stochastic differential equations and their applications

Author: Jin Ma; J Yong
Publisher: Berlin ; New York : Springer, ©2007.
Series: Lecture notes in mathematics (Springer-Verlag), 1702.
Edition/Format:   eBook : Document : English : Corr. 3rd printView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Ma, Jin, 1956-
Forward-backward stochastic differential equations and their applications.
Berlin ; New York : Springer, ©2007
(DLC) 2007923869
(OCoLC)182060620
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jin Ma; J Yong
ISBN: 9783540488316 3540488316 9783540659600 3540659609
OCLC Number: 655869372
Description: 1 online resource (xiii, 270 pages) : illustrations.
Contents: Preface --
Introduction --
Linear Equations --
Method of Optimal Control --
Four Step Scheme --
Linear, Degenerate Backward Stochastic Partial Differential Equations --
The Method of Continuation --
FBSDEs with Reflections --
Applications of FBSDEs --
Numerical Methods for FBSDEs --
Comments and Remarks --
References --
Index.
Series Title: Lecture notes in mathematics (Springer-Verlag), 1702.
Responsibility: Jin Ma, Jingmin Yong.
More information:

Abstract:

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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