Probability Theory and Stochastic Modelling

Backward Stochastic Differential Equations

From Linear to Fully Nonlinear Theory

Authors: Zhang, Jianfeng

  • Provides a systematic study from linear equations to fully nonlinear equations
  • Includes up-to-date developments in the field
  • A powerful and convenient tool for financial engineering and stochastic optimization
  • Accessible to graduate students and junior researchers
see more benefits

Buy this book

eBook $59.99
price for USA (gross)
  • ISBN 978-1-4939-7256-2
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.99
price for USA
valid through November 5, 2017
  • ISBN 978-1-4939-7254-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

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.

About the authors

Jianfeng Zhang is a professor of Mathematics at the University of Southern California, Los Angeles.  His research interests include stochastic analysis, backward stochastic differential equations, stochastic numerics, and mathematical finance.

Table of contents (12 chapters)

Buy this book

eBook $59.99
price for USA (gross)
  • ISBN 978-1-4939-7256-2
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $79.99
price for USA
valid through November 5, 2017
  • ISBN 978-1-4939-7254-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Backward Stochastic Differential Equations
Book Subtitle
From Linear to Fully Nonlinear Theory
Authors
Series Title
Probability Theory and Stochastic Modelling
Series Volume
86
Copyright
2017
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media LLC
eBook ISBN
978-1-4939-7256-2
DOI
10.1007/978-1-4939-7256-2
Hardcover ISBN
978-1-4939-7254-8
Series ISSN
2199-3130
Edition Number
1
Number of Pages
XVI, 388
Topics