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Forward-Backward Stochastic Differential Equations and their Applications

  • Jin Ma
  • Jiongmin Yong

Part of the Lecture Notes in Mathematics book series (LNM, volume 1702)

Table of contents

  1. Front Matter
    Pages i-xiii
  2. Pages 1-24
  3. Pages 25-50
  4. Pages 80-102
  5. Pages 169-192
  6. Pages 193-234
  7. Back Matter
    Pages 257-274

About this book

Introduction

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 equations, and some exposure to the stochastic control theory and PDEs. It can be used for researchers and/or senior graduate students in the areas of probability, control theory, mathematical finance, and other related fields.

Keywords

Backward Stochastic Partial Differential Equations Black's Consol Rate Conjecture Boundary value problem Forward-Backward Stochastic Differential Equations Four Step Scheme Nodal Solutions partial differential equation

Authors and affiliations

  • Jin Ma
    • 1
  • Jiongmin Yong
    • 2
  1. 1.Department of MathematicsPurdue University47906-1395West LafayetteUSA
  2. 2.Department of MathematicsFudan UniversityShanghaiPeople's Republic of China

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-540-48831-6
  • Copyright Information Springer-Verlag Berlin Heidelberg 2007
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-540-65960-0
  • Online ISBN 978-3-540-48831-6
  • Series Print ISSN 0075-8434
  • Series Online ISSN 1617-9692
  • Buy this book on publisher's site