Forward-Backward Stochastic Differential Equations and their Applications

Forward-Backward Stochastic Differential Equations and their Applications by Jin Ma, Jiongmin Yong.

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...

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Bibliographic Details
Main Authors: Ma, Jin (Author), Yong, Jiongmin (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2007.
Edition:1st ed. 2007.
Series:Lecture Notes in Mathematics, 1702
Springer eBook Collection.
Subjects:
Mathematical analysis.
Analysis (Mathematics).
Probabilities.
Economics, Mathematical .
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Status: Available

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