Stochastic Differential Equations, Backward SDEs, Partial Differential Equations

• Main Authors: Pardoux, Etienne (Author), Rӑşcanu, Aurel (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2014.
• Series: Stochastic Modelling and Applied Probability, 69
• Subjects: Mathematics.; Partial differential equations.; Probabilities.; Probability Theory and Stochastic Processes.; Partial Differential Equations.

This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics. It pays special attention to the relation...