Forward-Backward Stochastic Differential Equations and Their Applications

by Jiongmin Yong and Jin Ma

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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...

Format:Paperback

Language:English

ISBN:3540659609

ISBN13:9783540659600

Release Date:June 1999

Publisher:Springer

Length:278 Pages

Weight:0.91 lbs.

Dimensions:0.6" x 6.1" x 9.2"

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Forward-Backward Stochastic Differential Equations and Their Applications

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