Backward stochastic differential equations : from linear to fully nonlinear theory
Zhang, Jianfeng
Backward stochastic differential equations : from linear to fully nonlinear theory - New York, NY : Springer, 2017. - xv, 386 pages - Probability theory and stochastic modelling, 86 2199-3130 ; .
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.
9781493984329
Economic theory.
Economics, Mathematical.
Game theory.
Numerical analysis.
Partial differential equations.
Probabilities.
Probability theory and stochastic processes.
Economic theory, quantitative economics, mathematical methods
Game theory, economics, social and behav. Sciences.
Quantitative finance.
Stochastic differential equations
Viscosity solutions
519.21 / ZHA-B
Backward stochastic differential equations : from linear to fully nonlinear theory - New York, NY : Springer, 2017. - xv, 386 pages - Probability theory and stochastic modelling, 86 2199-3130 ; .
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.
9781493984329
Economic theory.
Economics, Mathematical.
Game theory.
Numerical analysis.
Partial differential equations.
Probabilities.
Probability theory and stochastic processes.
Economic theory, quantitative economics, mathematical methods
Game theory, economics, social and behav. Sciences.
Quantitative finance.
Stochastic differential equations
Viscosity solutions
519.21 / ZHA-B
