Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory

Zhang, Jianfeng

ISBN 10: 1493972545 / ISBN 13: 9781493972548

Verlag: Springer, 2017

Beschreibung

Unread book in perfect condition.

Bestandsnummer des Verkäufers 29532733

Bibliografische Details

• Titel: Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory
• Verlag: Springer
• Erscheinungsjahr: 2017
• Sprache: Englisch
• ISBN-10: 1493972545
• ISBN-13: 9781493972548
• Einband: Hardcover
• Zustand: As New

Über diesen Titel

Inhaltsangabe

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.

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.