[PDF.14fk] Forward-Backward Stochastic Differential Equations and their Applications (Lecture Notes in Mathematics)

Forward-Backward Stochastic Differential Equations and their Applications (Lecture Notes in Mathematics)

[PDF.cr00] Forward-Backward Stochastic Differential Equations and their Applications (Lecture Notes in Mathematics)

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 | #4061244 in Books |  Jin Ma |  2007-03-15 | Original language:English | PDF # 1 |  9.25 x.65 x6.10l,.91 | File type: PDF | 278 pages

 | Forward Backward Stochastic Differential Equations and their Applications

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||3 of 4 people found the following review helpful.| Exaxtly what the title promises|By PST|The book deals with forward-backward stochastic differential equations, exactly what the title suggests.
The prerequisites in stochastic processes are modest, knowledge at the level of Oksendal's Stochastic differential Eqiuations is more than sufficient.
The proofs are detailed enough, so that they are mostly easy to follow.

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 so...

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