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001 978-3-540-48831-6
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008 100301s2007 gw | s |||| 0|eng d
020 _a9783540488316
_9978-3-540-48831-6
024 7 _a10.1007/978-3-540-48831-6
_2doi
050 4 _aQA299.6-433
072 7 _aPBK
_2bicssc
072 7 _aMAT034000
_2bisacsh
072 7 _aPBK
_2thema
082 0 4 _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.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aLecture Notes in Mathematics,
_x0075-8434 ;
_v1702
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
912 _aZDB-2-LNM
999 _c11482
_d11482