Backward Stochastic Differential Equations From Linear to Fully Nonlinear Theory /

• Main Author: Zhang, Jianfeng (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York : Imprint: Springer, 2017.
• Series: Probability Theory and Stochastic Modelling, 86
• Subjects: Mathematics.; Partial differential equations.; Game theory.; Economics, Mathematical.; Numerical analysis.; Probabilities.; Economic theory.; Probability Theory and Stochastic Processes.; Quantitative Finance.; Game Theory, Economics, Social and Behav. Sciences.; Partial Differential Equations.; Numerical Analysis.; Economic Theory/Quantitative Economics/Mathematical Methods.

This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, second...

Table of Contents:

• Preliminaries
• Part I The Basic Theory of SDEs and BSDEs
• Basics of Stochastic Calculus
• Stochastic Differential Equations
• Backward Stochastic Differential Equations
• Markov BSDEs and PDEs
• Part II Further Theory of BSDEs
• Reflected BSDEs
• BSDEs with Quadratic Growth in Z
• Forward Backward SDEs
• Part III The Fully Nonlinear Theory of BSDEs
• Stochastic Calculus Under Weak Formulation
• Nonlinear Expectation
• Path Dependent PDEs
• Second Order BSDEs.. Bibliography
• Index.