Backward Stochastic Differential Equations (e-bog) af Zhang, Jianfeng
Zhang, Jianfeng (forfatter)

Backward Stochastic Differential Equations e-bog

509,93 DKK (inkl. moms 637,41 DKK)
This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, second order backward stochastic differential equations, and path dependent partial differential equati...
E-bog 509,93 DKK
Forfattere Zhang, Jianfeng (forfatter)
Forlag Springer
Udgivet 22 august 2017
Genrer Economics, Finance, Business and Management
Sprog English
Format epub
Beskyttelse LCP
ISBN 9781493972562
This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, second order backward stochastic differential equations, and path dependent partial differential equations. Their main applications and numerical algorithms, as well as many exercises, are included. The book focuses on ideas and clarity, with most results having been solved from scratch and most theories being motivated from applications. It can be considered a starting point for junior researchers in the field, and can serve as a textbook for a two-semester graduate course in probability theory and stochastic analysis. It is also accessible for graduate students majoring in financial engineering.