Backward Stochastic Differential Equations

From Linear to Fully Nonlinear Theory

Nonfiction, Science & Nature, Mathematics, Applied, Statistics
Cover of the book Backward Stochastic Differential Equations by Jianfeng Zhang, Springer New York
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Jianfeng Zhang ISBN: 9781493972562
Publisher: Springer New York Publication: August 22, 2017
Imprint: Springer Language: English
Author: Jianfeng Zhang
ISBN: 9781493972562
Publisher: Springer New York
Publication: August 22, 2017
Imprint: Springer
Language: English

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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Springer New York

Cover of the book Ventricular/Vascular Coupling by Jianfeng Zhang
Cover of the book Cardiovascular Anesthesia by Jianfeng Zhang
Cover of the book Engineering and Science of Biomass Feedstock Production and Provision by Jianfeng Zhang
Cover of the book Stalking the Wild Sweetgrass by Jianfeng Zhang
Cover of the book Continua with Microstructure by Jianfeng Zhang
Cover of the book Prestate Societies of the North Central European Plains by Jianfeng Zhang
Cover of the book Aided Augmentative Communication for Individuals with Autism Spectrum Disorders by Jianfeng Zhang
Cover of the book Archaeology from Historical Aerial and Satellite Archives by Jianfeng Zhang
Cover of the book Algebraic Combinatorics by Jianfeng Zhang
Cover of the book Space Weather and Coronal Mass Ejections by Jianfeng Zhang
Cover of the book National Intellectual Capital and the Financial Crisis in Brazil, Russia, India, China, Korea, and South Africa by Jianfeng Zhang
Cover of the book Advances in Image-Guided Urologic Surgery by Jianfeng Zhang
Cover of the book Oxygen Transport to Tissue XXXIII by Jianfeng Zhang
Cover of the book Ecotoxicological Characterization of Waste by Jianfeng Zhang
Cover of the book The Beginnings of Scholarly Economic Journalism by Jianfeng Zhang
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy