Stochastic Differential Equations, Backward SDEs, Partial Differential Equations

• Κύριοι συγγραφείς: Pardoux, Etienne (Συγγραφέας), Rӑşcanu, Aurel (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2014.
• Σειρά: Stochastic Modelling and Applied Probability, 69
• Θέματα: 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...

Πίνακας περιεχομένων:

• Introduction
• Background of Stochastic Analysis
• Ito’s Stochastic Calculus
• Stochastic Differential Equations
• SDE with Multivalued Drift
• Backward SDE
• Annexes
•  Bibliography
• Index.