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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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| Lenguaje: | eng |
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Springer
2007
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| Acceso en línea: | https://dx.doi.org/10.1007/978-3-540-48831-6 http://cds.cern.ch/record/1691608 |