Buch, Englisch, Band 1702, 278 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 910 g
Reihe: Lecture Notes in Mathematics
Buch, Englisch, Band 1702, 278 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 910 g
Reihe: Lecture Notes in Mathematics
ISBN: 978-3-540-65960-0
Verlag: Springer
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.
Zielgruppe
Research
Autoren/Hrsg.
Fachgebiete
- Mathematik | Informatik Mathematik Mathematische Analysis Differentialrechnungen und -gleichungen
- Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
- Mathematik | Informatik Mathematik Mathematische Analysis Integralrechnungen- und -gleichungen
- Mathematik | Informatik Mathematik Stochastik Mathematische Statistik
- Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
- Mathematik | Informatik Mathematik Stochastik Elementare Stochastik
Weitere Infos & Material
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.
