Backward Stochastic Differential Equations

From Linear to Fully Nonlinear Theory

Autori

• Jianfeng Zhang

Parametri

• 404 pagine
• 15 ore di lettura

• Economia e affari
• Matematica

Maggiori informazioni sul libro

Focusing on stochastic differential equations and their connections to partial differential equations, this book presents a systematic approach that includes both backward stochastic differential equations and the latest advances in fully nonlinear theory. It covers topics such as nonlinear expectation and second order backward stochastic differential equations, along with path-dependent partial differential equations. The text also features practical applications, numerical algorithms, and numerous exercises to enhance understanding.

Lingua: Inglese

Pubblicato: 2018

(In brossura)