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Forward-backward Stochastic Differential Equations and Their Applications
Ma, J.; Yong, J-.M.
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Description for Forward-backward Stochastic Differential Equations and Their Applications
Paperback. Presents techniques such as the method of optimal control, the "Four Step Scheme", and the method of continuation. This volume is a survey/monograph on the theory of forward-backward stochastic differential equations (FBSDEs). It is suitable for readers with basic knowledge of stochastic differential equations. Series: Lecture Notes in Mathematics. Num Pages: 292 pages, biography. BIC Classification: PBKJ; PBKL; PBT; PBWL. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly. Dimension: 234 x 156 x 15. Weight in Grams: 413.
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 ... Read more
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 ... Read more
Product Details
Format
Paperback
Publication date
1999
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
292
Condition
New
Series
Lecture Notes in Mathematics
Number of Pages
278
Place of Publication
Berlin, Germany
ISBN
9783540659600
SKU
V9783540659600
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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