Forward-Backward Stochastic Differential Equations and their Applications

• Κύριοι συγγραφείς: Ma, Jin (Συγγραφέας), Yong, Jiongmin (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2007.
• Σειρά: Lecture Notes in Mathematics, 1702
• Θέματα: Mathematics.; Mathematical analysis.; Analysis (Mathematics).; Economics, Mathematical.; Probabilities.; Analysis.; Probability Theory and Stochastic Processes.; Quantitative Finance.

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 ba...

Πίνακας περιεχομένων:

• 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.