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    3. Forward-Backward Stochastic Differential Equations and their Applications

    Forward-Backward Stochastic Differential Equations and their Applications

    Posted By: roxul
    Date: 19 Nov 2019 22:44:46
    Forward-Backward Stochastic Differential Equations and their Applications

    Jin Ma, "Forward-Backward Stochastic Differential Equations and their Applications "
    English | ISBN: 3540659609 | 2007 | 278 pages | PDF | 2 MB

    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.
    UPWARDS