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Forward-Backward Stochastic Differential Equations and their Applications

Produktform: E-Buch Text Elektronisches Buch in proprietärem

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.weiterlesen

Dieser Artikel gehört zu den folgenden Serien

Elektronisches Format: PDF

Sprache(n): Englisch

ISBN: 978-3-540-48831-6 / 978-3540488316 / 9783540488316

Verlag: Springer Berlin

Erscheinungsdatum: 24.04.2007

Seiten: 278

Autor(en): Jiongmin Yong, Jin Ma

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