rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Forward-Backward Stochastic Differential Equations and their Applications
  name:
    name part: Ma, Jin.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Yong, Jiongmin.
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2007
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XIV, 278 p. online resource.
  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.
  table of contents: Linear Equations -- Method of Optimal Control -- Four Step Scheme -- Linear, Degenerate Backward Stochastic Partial Di erential Equations -- The Method of Continuation -- FBSDEs with Reflections -- Applications of FBSDEs -- Numerical Methods for FBSDEs.
  note: by Jin Ma, Jiongmin Yong.
  subject:
    topic: Mathematics
  subject:
    topic: Mathematical analysis
  subject:
    topic: Analysis (Mathematics)
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Probabilities
  subject:
    topic: Mathematics
  subject:
    topic: Analysis
  subject:
    topic: Probability Theory and Stochastic Processes
  subject:
    topic: Quantitative Finance
  classification: QA299.6-433
  classification: 515
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Lecture Notes in Mathematics, 1702
  identifier: 9783540488316
  identifier: http://dx.doi.org/10.1007/978-3-540-48831-6
  record info:
    record creation date: 100301
    record change date: 20151204155534.0
    record identifier: 978-3-540-48831-6