Lecture Notes in Mathematics

Forward-Backward Stochastic Differential Equations and their Applications

Authors: Ma, Jin, Yong, Jiongmin

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eBook $54.99
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  • ISBN 978-3-540-48831-6
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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.

Table of contents (3 chapters)

Buy this book

eBook $54.99
price for USA (gross)
  • ISBN 978-3-540-48831-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $69.95
price for USA
  • ISBN 978-3-540-65960-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Forward-Backward Stochastic Differential Equations and their Applications
Authors
Series Title
Lecture Notes in Mathematics
Series Volume
1702
Copyright
2007
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-48831-6
DOI
10.1007/978-3-540-48831-6
Softcover ISBN
978-3-540-65960-0
Series ISSN
0075-8434
Edition Number
1
Number of Pages
XIV, 278
Topics