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 Near Misses in Pediatric Anesthesia by Jianfeng Zhang
Cover of the book Defining Street Gangs in the 21st Century by Jianfeng Zhang
Cover of the book Information Strategy Design and Practices by Jianfeng Zhang
Cover of the book Biochemistry by Jianfeng Zhang
Cover of the book Introduction to Mixed-Signal, Embedded Design by Jianfeng Zhang
Cover of the book Changing Conceptions of Conspiracy by Jianfeng Zhang
Cover of the book Divergence Operator and Related Inequalities by Jianfeng Zhang
Cover of the book Topical Directions of Informatics by Jianfeng Zhang
Cover of the book Kinetics and Equilibrium in Mineral Reactions by Jianfeng Zhang
Cover of the book Stochastic Processes and Applications by Jianfeng Zhang
Cover of the book Root and Tuber Crops by Jianfeng Zhang
Cover of the book Embedded Systems Development by Jianfeng Zhang
Cover of the book Legumes in the Omic Era by Jianfeng Zhang
Cover of the book Algebraic Topology by Jianfeng Zhang
Cover of the book Aerogels Handbook 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