Forward-Backward Stochastic Differential Equations and their Applications
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 ba...
Enregistré dans:
| Auteurs principaux: | , |
|---|---|
| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Udgivelse: | 1st ed. 2007. |
| Serier: | Lecture Notes in Mathematics
1702 |
| Fag: | |
| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Kommentar: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Forward-Backward Stochastic Differential Equations and their Applications, Texte imprimé, 9783540659600 • Forward-Backward Stochastic Differential Equations and their Applications, Texte imprimé, 9783662180297 |
Indholdsfortegnelse:
- 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.