Description: Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory, Hardcover by Zhang, Jianfeng, ISBN 1493972545, ISBN-13 9781493972548, Brand New, Free shipping in the US
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.
Th 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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Book Title: Backward Stochastic Differential Equations : From Linear to Fully
Number of Pages: Xvi, 388 Pages
Publication Name: Backward Stochastic Differential Equations : from Linear to Fully Nonlinear Theory
Language: English
Publisher: Springer New York
Subject: Game Theory, Differential Equations / General, Probability & Statistics / Stochastic Processes, Probability & Statistics / General, Applied
Publication Year: 2017
Type: Textbook
Item Weight: 256.5 Oz
Subject Area: Mathematics
Author: Jianfeng Zhang
Item Length: 9.3 in
Item Width: 6.1 in
Series: Probability Theory and Stochastic Modelling Ser.
Format: Hardcover
