Overview

This book 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 book is suitable for readers with basic knowledge of stochastic differential equations, and some exposure to the stochastic control theory and PDEs. The book can be used for researchers and/or senior graduate students in the areas of probability, control theory, mathematical finance, and other related fields.

Full Product Details

Author:   Jin Ma ,  Jiongmin Yong
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   1st ed. 1999. Corr. 3rd printing 2007
Volume:   1702
Dimensions:   Width: 15.50cm , Height: 1.50cm , Length: 23.50cm
Weight:   0.910kg
ISBN:  

9783540659600

ISBN 10:   3540659609
Pages:   278
Publication Date:   21 June 1999
Audience:   College/higher education ,  Professional and scholarly ,  Postgraduate, Research & Scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   In Print  
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Table of Contents

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.

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