Backward Stochastic Differential Equations

Name: Backward Stochastic Differential Equations
Brand: Springer-Verlag New York Inc.
SKU: 9781493984329
Price: 68.28 EUR
Availability: InStock

From Linear to Fully Nonlinear Theory

Autor: Jianfeng Zhang

Jazyk:

Väzba: Brožovaná

Vydavateľ: Springer-Verlag New York Inc.

Dostupnosť: Skladom u dodávateľa

Odosielame za 5-8 dní

68.28 €

This book provides a systematic and accessible approach to stochastic differential equations, backwa...

Informácie o knihe

Autor

Jianfeng Zhang

Jazyk

Angličtina

Väzba

Kniha - Brožovaná

Vydalo

2018

Stránok

388

EAN

9781493984329

ISBN

9781493984329

Enbook ID

21958581

Vydavateľ

Springer-Verlag New York Inc.

Hmotnosť

617

Rozmery

155 x 235 x 22

Kompletný popis

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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Backward Stochastic Differential Equations

From Linear to Fully Nonlinear Theory

Informácie o knihe

Kompletný popis

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