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Mathematics - Analysis | Forward-Backward Stochastic Differential Equations and their Applications

Forward-Backward Stochastic Differential Equations and their Applications

Series: Lecture Notes in Mathematics, Vol. 1702

Ma, Jin, Yong, Jiongmin

1999, XIV, 278 p.

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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.

Content Level » Research

Keywords » Backward Stochastic Partial Differential Equations - Black's Consol Rate Conjecture - Boundary value problem - Forward-Backward Stochastic Differential Equations - Four Step Scheme - Nodal Solutions - partial differential equation

Related subjects » Analysis - Probability Theory and Stochastic Processes - Quantitative Finance

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