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Book Cover
Author Ma, Jin, 1956-

Title Forward-backward stochastic differential equations and their applications / Jin Ma, Jingmin Yong
Edition Corrected third print
Published Berlin ; New York : Springer, [2007]
Online access available from:
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Description 1 online resource (xiii, 270 pages) : illustrations
Series Lecture notes in mathematics, 0075-8434 ; 1702
Lecture notes in mathematics (Springer-Verlag) ; 1702
Contents Preface -- Introduction -- Linear Equations -- Method of Optimal Control -- Four Step Scheme -- Linear, Degenerate Backward Stochastic Partial Differential Equations -- The Method of Continuation -- FBSDEs with Reflections -- Applications of FBSDEs -- Numerical Methods for FBSDEs -- Comments and Remarks -- References -- Index
Summary 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
Bibliography Includes bibliographical references (pages 259-268) and index
Notes Print version record
Subject Stochastic differential equations.
Form Electronic book
Author Yong, J. (Jiongmin), 1958-
LC no. 2007923869
ISBN 3540488316 (electronic bk.)
9783540488316 (electronic bk.)