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Forward-Backward Stochastic Differential Equations and their Applications
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2007.
|
| Edición: | 1st ed. 2007. |
| Colección: | Lecture Notes in Mathematics,
1702 |
| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
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| 100 | 1 | |a Ma, Jin. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Forward-Backward Stochastic Differential Equations and their Applications |h [electronic resource] / |c by Jin Ma, Jiongmin Yong. |
| 250 | |a 1st ed. 2007. | ||
| 264 | 1 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg : |b Imprint: Springer, |c 2007. | |
| 300 | |a XIV, 278 p. |b online resource. | ||
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| 490 | 1 | |a Lecture Notes in Mathematics, |x 1617-9692 ; |v 1702 | |
| 505 | 0 | |a 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. | |
| 520 | |a 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. | ||
| 650 | 0 | |a Mathematical analysis. | |
| 650 | 0 | |a Probabilities. | |
| 650 | 0 | |a Social sciences-Mathematics. | |
| 650 | 1 | 4 | |a Analysis. |
| 650 | 2 | 4 | |a Probability Theory. |
| 650 | 2 | 4 | |a Mathematics in Business, Economics and Finance. |
| 700 | 1 | |a Yong, Jiongmin. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
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| 776 | 0 | 8 | |i Printed edition: |z 9783662180297 |
| 830 | 0 | |a Lecture Notes in Mathematics, |x 1617-9692 ; |v 1702 | |
| 856 | 4 | 0 | |u https://doi.uam.elogim.com/10.1007/978-3-540-48831-6 |z Texto Completo |
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