Forward-Backward Stochastic Differential Equations and their Applications

• Main Authors: Ma, Jin (Author), Yong, Jiongmin (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2007.
• Series: Lecture Notes in Mathematics, 1702
• Subjects: 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...