Forward-Backward Stochastic Differential Equations and their Applications

Name: Forward-Backward Stochastic Differential Equations and their Applications
SKU: 2833630
Price: 177.00 NZD
Availability: InStock

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Paperback / softback

Series:

Lecture Notes in Mathematics

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Description

This book 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 book is suitable for readers with basic knowledge of stochastic differential equations, and some exposure to the stochastic control theory and PDEs. The book can be used for researchers and/or senior graduate students in the areas of probability, control theory, mathematical finance, and other related fields.

Release date NZ

June 21st, 1999

Author

Audiences

Postgraduate, Research & Scholarly
Professional & Vocational

Illustrations

XIV, 278 p.

Pages

278

Series

Lecture Notes in Mathematics

Dimensions

156x234x15

ISBN-13

9783540659600

Product ID

2833630

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