Description
Backward Stochastic Differential Equations, 1st ed. 2017
From Linear to Fully Nonlinear Theory
Probability Theory and Stochastic Modelling Series, Vol. 86
Author: Zhang Jianfeng
Language: EnglishSubjects for Backward Stochastic Differential Equations:
Keywords
Stochastic Differential Equations; Backward Stochastic Differential Equations; Second Order Backward Stochastic Differential Equations; Path Dependent Partial Differential Equations; Parabolic Partial Differential Equations; Nonlinear Expectation; Stochastic Controls; Mathematical Finance; Viscosity Solutions; Weak Formulation; Probability Theory and Stochastic Processes; Quantitative Finance; Game Theory; Economics; Social and Behavioral Science; Partial Differential Equations; Numerical Analysis; Economic Theory; Quantitative Economics; Mathematical Methods
Approximative price 68.56 €
In Print (Delivery period: 15 days).
Add to cart the print on demand of Zhang JianfengPublication date: 08-2018
Support: Print on demand
Approximative price 94.94 €
In Print (Delivery period: 15 days).
Add to cart the print on demand of Zhang JianfengPublication date: 08-2017
Support: Print on demand
Description
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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.
Provides a systematic study from linear equations to fully nonlinear equations
Includes up-to-date developments in the field
A powerful and convenient tool for financial engineering and stochastic optimization
Accessible to graduate students and junior researchers
Includes supplementary material: sn.pub/extras