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＜電子ブック＞
Forward-Backward Stochastic Differential Equations and their Applications / by Jin Ma, Jiongmin Yong
(Lecture Notes in Mathematics. ISSN:16179692 ; 1702)

版	1st ed. 2007.
出版者	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
出版年	2007
大きさ	XIV, 278 p : online resource
著者標目	*Ma, Jin author Yong, Jiongmin author SpringerLink (Online service)
件　名	LCSH:Mathematical analysis LCSH:Probabilities LCSH:Social sciences—Mathematics FREE:Analysis FREE:Probability Theory FREE:Mathematics in Business, Economics and Finance
一般注記	Linear 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 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 HTTP:URL=https://doi.org/10.1007/978-3-540-48831-6

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