Backward Stochastic Differential Equations

Autor: Jianfeng Zhang

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Legare: Copertă tare

Editura: Springer-Verlag New York Inc.

Disponibilitate: În depozitul extern

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This book provides a systematic and accessible approach to stochastic differential equations, backwa...

Informații despre carte

Autor

Jianfeng Zhang

Limbă

engleză

Legare

Carte - Copertă tare

Publicat

2017

Pagini

388

EAN

9781493972548

ISBN

1493972545

Enbook ID

16313678

Editura

Springer-Verlag New York Inc.

Greutate

752

Dimensiuni

162 x 237 x 27

Descriere completă

This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, second order backward stochastic differential equations, and path dependent partial differential equations. Their main applications and numerical algorithms, as well as many exercises, are included. The book focuses on ideas and clarity, with most results having been solved from scratch and most theories being motivated from applications. It can be considered a starting point for junior researchers in the field, and can serve as a textbook for a two-semester graduate course in probability theory and stochastic analysis. It is also accessible for graduate students majoring in financial engineering.

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Backward Stochastic Differential Equations

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