Forward-Backward Stochastic Differential Equations and their Applications
by
Ma, Jin. author.
Title
:
Forward-Backward Stochastic Differential Equations and their Applications
Author
:
Ma, Jin. author.
ISBN
:
9783540488316
Personal Author
:
Ma, Jin. author.
Physical Description
:
XIV, 278 p. online resource.
Series
:
Lecture Notes in Mathematics, 1702
Contents
:
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.
Abstract
:
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.
Subject Term
:
Mathematics.
Finance.
Distribution (Probability theory).
Probability Theory and Stochastic Processes.
Quantitative Finance.
Added Author
:
Yong, Jiongmin.
Added Corporate Author
:
SpringerLink (Online service)
Electronic Access
:
Library | Material Type | Item Barcode | Shelf Number | Status |
---|
IYTE Library | E-Book | 511916-1001 | QA273 .A1-274.9 | Online Springer |