Forward-Backward Stochastic Differential Equations and their Applications

Download or Read eBook Forward-Backward Stochastic Differential Equations and their Applications PDF written by Jin Ma and published by Springer. This book was released on 2007-04-24 with total page 285 pages. Available in PDF, EPUB and Kindle.
Forward-Backward Stochastic Differential Equations and their Applications
Author :
Publisher : Springer
Total Pages : 285
Release :
ISBN-10 : 9783540488316
ISBN-13 : 3540488316
Rating : 4/5 (16 Downloads)

Book Synopsis Forward-Backward Stochastic Differential Equations and their Applications by : Jin Ma

Book excerpt: 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.


Forward-Backward Stochastic Differential Equations and their Applications Related Books

Forward-Backward Stochastic Differential Equations and their Applications
Language: en
Pages: 285
Authors: Jin Ma
Categories: Mathematics
Type: BOOK - Published: 2007-04-24 - Publisher: Springer

DOWNLOAD EBOOK

This volume is a survey/monograph on the recently developed theory of forward-backward stochastic differential equations (FBSDEs). Basic techniques such as the
Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications
Language: en
Pages: 285
Authors: Łukasz Delong
Categories: Mathematics
Type: BOOK - Published: 2013-06-12 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

Backward stochastic differential equations with jumps can be used to solve problems in both finance and insurance. Part I of this book presents the theory of BS
Backward Stochastic Differential Equations
Language: en
Pages: 392
Authors: Jianfeng Zhang
Categories: Mathematics
Type: BOOK - Published: 2017-08-22 - Publisher: Springer

DOWNLOAD EBOOK

This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection w
Backward Stochastic Differential Equations
Language: en
Pages: 236
Authors: N El Karoui
Categories: Mathematics
Type: BOOK - Published: 1997-01-17 - Publisher: CRC Press

DOWNLOAD EBOOK

This book presents the texts of seminars presented during the years 1995 and 1996 at the Université Paris VI and is the first attempt to present a survey on th
Stochastic Analysis and Related Topics VI
Language: en
Pages: 414
Authors: Laurent Decreusefond
Categories: Mathematics
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

This volume contains the contributions of the participants of the Sixth Oslo-Silivri Workshop on Stochastic Analysis, held in Geilo from July 29 to August 6, 19