Forward-backward stochastic differential equations and their applications

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 ba...

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Detalles Bibliográficos
Autores principales: Ma, Jin, Yong, Jiongmin
Lenguaje:eng
Publicado: Springer 2007
Materias:
Mathematical Physics and Mathematics
Acceso en línea:https://dx.doi.org/10.1007/978-3-540-48831-6
http://cds.cern.ch/record/1691608
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author Ma, Jin
Yong, Jiongmin
author_facet Ma, Jin
Yong, Jiongmin
author_sort Ma, Jin
collection CERN
description 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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institution Organización Europea para la Investigación Nuclear
language eng
publishDate 2007
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spelling cern-16916082021-04-21T21:08:34Zdoi:10.1007/978-3-540-48831-6http://cds.cern.ch/record/1691608engMa, JinYong, JiongminForward-backward stochastic differential equations and their applicationsMathematical Physics and MathematicsThis 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.Springeroai:cds.cern.ch:16916082007
spellingShingle Mathematical Physics and Mathematics
Ma, Jin
Yong, Jiongmin
Forward-backward stochastic differential equations and their applications
title Forward-backward stochastic differential equations and their applications
title_full Forward-backward stochastic differential equations and their applications
title_fullStr Forward-backward stochastic differential equations and their applications
title_full_unstemmed Forward-backward stochastic differential equations and their applications
title_short Forward-backward stochastic differential equations and their applications
title_sort forward-backward stochastic differential equations and their applications
topic Mathematical Physics and Mathematics
url https://dx.doi.org/10.1007/978-3-540-48831-6
http://cds.cern.ch/record/1691608
work_keys_str_mv AT majin forwardbackwardstochasticdifferentialequationsandtheirapplications
AT yongjiongmin forwardbackwardstochasticdifferentialequationsandtheirapplications

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