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  • Conference proceedings
  • © 2019

Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications

Edinburgh, July 2017 Selected, Revised and Extended Contributions

  • Pays attention to the interaction of the both research areas on backward stochastic differential equations (BSDEs) and on stochastic partial differential equations (SPDEs)

  • Provides new insights and approaches

  • Written by experts in the field

Part of the book series: Springer Proceedings in Mathematics & Statistics (PROMS, volume 289)

Conference series link(s): BSDE-SPDE: International Symposium on BSDEs

Conference proceedings info: BSDE-SPDE 2017.

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eBook USD 109.00
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  • ISBN: 978-3-030-22285-7
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  • Tax calculation will be finalised during checkout
Softcover Book USD 139.99
Price excludes VAT (USA)
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Table of contents (9 papers)

  1. Front Matter

    Pages i-ix
  2. BSDEs and Enlargement of Filtration

    • Monique Jeanblanc, Dongli Wu
    Pages 201-220
  3. Path-Dependent SDEs in Hilbert Spaces

    • Mauro Rosestolato
    Pages 261-300

Other Volumes

  1. Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications

    Edinburgh, July 2017 Selected, Revised and Extended Contributions

About this book

This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Scotland, July 2017 and included the 8th World Symposium on BSDEs. 

The volume addresses recent advances involving backward stochastic differential equations (BSDEs) and stochastic partial differential equations (SPDEs). These equations are of fundamental importance in modelling of biological, physical and economic systems, and underpin many problems in control of random systems, mathematical finance, stochastic filtering and data assimilation. The papers in this volume seek to understand these equations, and to use them to build our understanding in other areas of mathematics.

This volume will be of interest to those working at the forefront of modern probability theory, both established researchers and graduate students.


Keywords

  • 60-06, 91-06
  • BSDEs World Symposium
  • SPDEs
  • Stochastic Control
  • Filtering
  • Mathematical Finance
  • Enlargement of Filtration
  • McKean Equations
  • Martingale Representation
  • Uncertainty
  • Option Pricing
  • Forward Utility
  • Path Dependence
  • quantitative finance
  • partial differential equations

Editors and Affiliations

  • Mathematical Institute, University of Oxford, Oxford, UK

    Samuel N. Cohen

  • School of Mathematics, University of Edinburgh, Edinburgh, UK

    István Gyöngy, Gonҫalo dos Reis, David Siska, Łukasz Szpruch

Bibliographic Information

Buying options

eBook USD 109.00
Price excludes VAT (USA)
  • ISBN: 978-3-030-22285-7
  • Instant PDF download
  • Readable on all devices
  • Own it forever
  • Exclusive offer for individuals only
  • Tax calculation will be finalised during checkout
Softcover Book USD 139.99
Price excludes VAT (USA)
Hardcover Book USD 199.99
Price excludes VAT (USA)