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Forward-Backward Stochastic Differential Equations and their Applications

  • Book
  • © 2007

Overview

Authors:
  1. Jin Ma

    1. Department of Mathematics, Purdue University, 47906-1395, West Lafayette, USA

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    You can also search for this author in PubMed   Google Scholar

  2. Jiongmin Yong

    1. Department of Mathematics, Fudan University, Shanghai, People's Republic of China

    View author publications

    You can also search for this author in PubMed   Google Scholar

Part of the book series: Lecture Notes in Mathematics (LNM, volume 1702)

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Table of contents (9 chapters)

  1. Front Matter

    Pages i-xiii
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  2. Introduction

    Pages 1-24

  3. Linear Equations

    Pages 25-50

  4. Method of Optimal Control

    Pages 51-79

  5. Four Step Scheme

    Pages 80-102

  6. Linear, Degenerate Backward Stochastic Partial Di erential Equations

    Pages 103-136

  7. The Method of Continuation

    Pages 137-168

  8. FBSDEs with Reflections

    Pages 169-192

  9. Applications of FBSDEs

    Pages 193-234

  10. Numerical Methods for FBSDEs

    Pages 235-256

  11. Back Matter

    Pages 257-274
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Keywords

About this book

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.

Authors and Affiliations

  • Department of Mathematics, Purdue University, 47906-1395, West Lafayette, USA

    Jin Ma

  • Department of Mathematics, Fudan University, Shanghai, People's Republic of China

    Jiongmin Yong

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