Forwardbackward Stochastic Differential Equations and Their Applications Jin Ma

ISBN: 9783540488316

Published: January 1st 2007

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Forwardbackward Stochastic Differential Equations and Their Applications  by  Jin Ma

Forwardbackward Stochastic Differential Equations and Their Applications by Jin Ma
January 1st 2007 | ebook | PDF, EPUB, FB2, DjVu, AUDIO, mp3, RTF | | ISBN: 9783540488316 | 4.64 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 areMoreThis  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.



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