000 | 02951nam a22005055i 4500 | ||
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001 | 978-3-540-48831-6 | ||
003 | DE-He213 | ||
005 | 20190213151653.0 | ||
007 | cr nn 008mamaa | ||
008 | 100301s2007 gw | s |||| 0|eng d | ||
020 |
_a9783540488316 _9978-3-540-48831-6 |
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024 | 7 |
_a10.1007/978-3-540-48831-6 _2doi |
|
050 | 4 | _aQA299.6-433 | |
072 | 7 |
_aPBK _2bicssc |
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_aMAT034000 _2bisacsh |
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_aPBK _2thema |
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_a515 _223 |
100 | 1 |
_aMa, Jin. _eauthor. _4aut _4http://id.loc.gov/vocabulary/relators/aut |
|
245 | 1 | 0 |
_aForward-Backward Stochastic Differential Equations and their Applications _h[electronic resource] / _cby Jin Ma, Jiongmin Yong. |
264 | 1 |
_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg, _c2007. |
|
300 |
_aXIV, 278 p. _bonline resource. |
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336 |
_atext _btxt _2rdacontent |
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337 |
_acomputer _bc _2rdamedia |
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338 |
_aonline resource _bcr _2rdacarrier |
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347 |
_atext file _bPDF _2rda |
||
490 | 1 |
_aLecture Notes in Mathematics, _x0075-8434 ; _v1702 |
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505 | 0 | _aLinear Equations -- Method of Optimal Control -- Four Step Scheme -- Linear, Degenerate Backward Stochastic Partial Di erential Equations -- The Method of Continuation -- FBSDEs with Reflections -- Applications of FBSDEs -- Numerical Methods for FBSDEs. | |
520 | _aThis 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. | ||
650 | 0 | _aGlobal analysis (Mathematics). | |
650 | 0 | _aDistribution (Probability theory. | |
650 | 0 | _aFinance. | |
650 | 1 | 4 |
_aAnalysis. _0http://scigraph.springernature.com/things/product-market-codes/M12007 |
650 | 2 | 4 |
_aProbability Theory and Stochastic Processes. _0http://scigraph.springernature.com/things/product-market-codes/M27004 |
650 | 2 | 4 |
_aQuantitative Finance. _0http://scigraph.springernature.com/things/product-market-codes/M13062 |
700 | 1 |
_aYong, Jiongmin. _eauthor. _4aut _4http://id.loc.gov/vocabulary/relators/aut |
|
710 | 2 | _aSpringerLink (Online service) | |
773 | 0 | _tSpringer eBooks | |
776 | 0 | 8 |
_iPrinted edition: _z9783540659600 |
776 | 0 | 8 |
_iPrinted edition: _z9783662180297 |
830 | 0 |
_aLecture Notes in Mathematics, _x0075-8434 ; _v1702 |
|
856 | 4 | 0 | _uhttps://doi.org/10.1007/978-3-540-48831-6 |
912 | _aZDB-2-SMA | ||
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