Coverart for item
The Resource Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory, by Jianfeng Zhang, (electronic resource)

Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory, by Jianfeng Zhang, (electronic resource)

Label
Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory
Title
Backward Stochastic Differential Equations
Title remainder
From Linear to Fully Nonlinear Theory
Statement of responsibility
by Jianfeng Zhang
Creator
Subject
Language
eng
Summary
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.--
Member of
Assigning source
Provided by publisher
http://library.link/vocab/creatorName
Zhang, Jianfeng
Image bit depth
0
Literary form
non fiction
Nature of contents
dictionaries
Series statement
  • Springer eBooks
  • Probability Theory and Stochastic Modelling,
Series volume
86
http://library.link/vocab/subjectName
  • Mathematics
  • Partial differential equations
  • Game theory
  • Economics, Mathematical
  • Numerical analysis
  • Probabilities
  • Economic theory
Label
Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory, by Jianfeng Zhang, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1007/978-1-4939-7256-2
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Preliminaries -- Part I The Basic Theory of SDEs and BSDEs -- Basics of Stochastic Calculus -- Stochastic Differential Equations -- Backward Stochastic Differential Equations -- Markov BSDEs and PDEs -- Part II Further Theory of BSDEs -- Reflected BSDEs -- BSDEs with Quadratic Growth in Z -- Forward Backward SDEs -- Part III The Fully Nonlinear Theory of BSDEs -- Stochastic Calculus Under Weak Formulation -- Nonlinear Expectation -- Path Dependent PDEs -- Second Order BSDEs.. Bibliography -- Index
Control code
978-1-4939-7256-2
Dimensions
unknown
Extent
1 online resource (XVI, 388 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781493972562
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-1-4939-7256-2
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1002287248
Label
Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory, by Jianfeng Zhang, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=http://dx.doi.org/10.1007/978-1-4939-7256-2
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
Preliminaries -- Part I The Basic Theory of SDEs and BSDEs -- Basics of Stochastic Calculus -- Stochastic Differential Equations -- Backward Stochastic Differential Equations -- Markov BSDEs and PDEs -- Part II Further Theory of BSDEs -- Reflected BSDEs -- BSDEs with Quadratic Growth in Z -- Forward Backward SDEs -- Part III The Fully Nonlinear Theory of BSDEs -- Stochastic Calculus Under Weak Formulation -- Nonlinear Expectation -- Path Dependent PDEs -- Second Order BSDEs.. Bibliography -- Index
Control code
978-1-4939-7256-2
Dimensions
unknown
Extent
1 online resource (XVI, 388 pages)
File format
multiple file formats
Form of item
  • online
  • electronic
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781493972562
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-1-4939-7256-2
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(OCoLC)1002287248

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