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

The book offers a comprehensive exploration of stochastic differential equations and their interrelations with backward stochastic differential equations and partial differential equations. It delves into advanced topics such as nonlinear expectation and second order backward stochastic differential equations, while also addressing the fully nonlinear theory. Additionally, it includes applications, numerical algorithms, and numerous exercises to reinforce understanding, making it a valuable resource for both students and practitioners in the field.

Lingua: Inglese

Pubblicato: 2017

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