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Forward-Backward Stochastic Differential Equations and Their Applications

Forward-Backward Stochastic Differential Equations and Their Applications

Paperback

Series: Lecture Notes in Mathematics, Book 1702

Investing & FinanceMedical ReferenceProbability & Statistics

ISBN10: 3540659609
ISBN13: 9783540659600
Publisher: Springer Nature
Published: Jun 21 1999
Pages: 278
Weight: 0.91
Height: 0.61 Width: 6.14 Depth: 9.21
Language: English
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.

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