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Backward Stochastic Differential Equations: From Linear to Fully Nonlinear Theory: 86 (Probability Theory and Stochastic Modelling) - Softcover
Inhaltsangabe
Provides a systematic study from linear equations to fully nonlinear equations
Includes up-to-date developments in the field
A powerful and convenient tool for financial engineering and stochastic optimization
Accessible to graduate students and junior researchers
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Über die Autorin bzw. den Autor
Jianfeng Zhang is a professor of Mathematics at the University of Southern California, Los Angeles. His research interests include stochastic analysis, backward stochastic differential equations, stochastic numerics, and mathematical finance.
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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.
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- VerlagSpringer
- Erscheinungsdatum2018
- ISBN 10 1493984322
- ISBN 13 9781493984329
- EinbandTapa blanda
- SpracheEnglisch
- Anzahl der Seiten404
- Kontakt zum HerstellerNicht verfügbar
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Verlag:
Springer New York, Springer US Aug 2018, 2018
ISBN 10: 1493984322
ISBN 13: 9781493984329
Neu
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Anbieter: buchversandmimpf2000, Emtmannsberg, BAYE, Deutschland
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Verlag:
Springer New York, Springer US, 2018
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Neu
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Verkäuferbewertung 5 von 5 Sternen
Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Bestandsnummer des Verkäufers 9781493984329
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