Table of contents
About this book
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.
- DOI https://doi.org/10.1007/978-1-4939-7256-2
- Copyright Information Springer Science+Business Media LLC 2017
- Publisher Name Springer, New York, NY
- eBook Packages Mathematics and Statistics
- Print ISBN 978-1-4939-7254-8
- Online ISBN 978-1-4939-7256-2
- Series Print ISSN 2199-3130
- Series Online ISSN 2199-3149
- About this book