02897nam 2200649 450 991048437630332120210215182504.01-280-85338-797866108533803-540-48831-610.1007/978-3-540-48831-6(CKB)1000000000437310(EBL)3036621(SSID)ssj0000296736(PQKBManifestationID)11245006(PQKBTitleCode)TC0000296736(PQKBWorkID)10321813(PQKB)10430593(DE-He213)978-3-540-48831-6(MiAaPQ)EBC3036621(MiAaPQ)EBC6351725(PPN)149039212(EXLCZ)99100000000043731020210215d2007 uy 0engur|n|---|||||txtccrForward-backward stochastic differential equations and their applications /Jin Ma, Jiongmin Yong1st ed. 2007.Berlin, Heidelberg :Springer,[2007]©20071 online resource (284 p.)Lecture Notes in Mathematics ;1702Description based upon print version of record.3-540-65960-9 Includes bibliographical references (p. [259]-268) and index.Linear Equations -- Method of Optimal Control -- Four Step Scheme -- Linear, Degenerate Backward Stochastic Partial Di erential Equations -- The Method of Continuation -- FBSDEs with Reflections -- Applications of FBSDEs -- Numerical Methods for FBSDEs.This volume is a survey/monograph on the recently developed theory of forward-backward stochastic differential equations (FBSDEs). Basic techniques such as the method of optimal control, the "Four Step Scheme", and the method of continuation are presented in full. Related topics such as backward stochastic PDEs and many applications of FBSDEs are also discussed in detail. The volume is suitable for readers with basic knowledge of stochastic differential equations, and some exposure to the stochastic control theory and PDEs. It can be used for researchers and/or senior graduate students in the areas of probability, control theory, mathematical finance, and other related fields.Lecture notes in mathematics ;1702.MathematicsFinanceDistribution (Probability theory)Mathematics.Finance.Distribution (Probability theory)510Ma Jin1956-726084Yong J(Jiongmin),1958-MiAaPQMiAaPQMiAaPQBOOK9910484376303321Forward-backward stochastic differential equations and their applications2830756UNINA