Forward-Backward Stochastic Differential Equations and Their Applications

Forward-Backward Stochastic Differential Equations and Their Applications

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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 qFour Step Schemeq, 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.1816: S. Albeverio, W. Schachermayer, M. Tala- grand, Lectures on Probability Theory and Statistics. ... 1841: W. Reichel, Uniqueness Theorems for Variational Problems by the Method of Transformation Groups (2004) Vol. 1842: T. Johnsen anbsp;...


Title:Forward-Backward Stochastic Differential Equations and Their Applications
Author: Jin Ma, Jiongmin Yong
Publisher:Springer Science & Business Media - 1999-01-01
ISBN-13:

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