Forward-backward stochastic differential equations and their applications
By: Jin Ma, Jiongmin Yong.
Contributors: Yong, J. 1958-
Series: Lecture notes in mathematics,; 1702; Lecture notes in mathematics (Springer-Verlag) ;; 1702.
Publisher: Springer
Published: 1999
Place of publication: Berlin; New York
Language: eng
Number of pages: 270
Subjects: Stochastic differential equations
Description: 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.
Notes: Includes bibliographical references (p. [259]-268) and index.