Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory
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The work Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory represents a distinct intellectual or artistic creation found in European University Institute. This resource is a combination of several types including: Work, Language Material, Books.
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Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory
Resource Information
The work Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory represents a distinct intellectual or artistic creation found in European University Institute. This resource is a combination of several types including: Work, Language Material, Books.
- Label
- Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory
- Title remainder
- From Linear to Fully Nonlinear Theory
- Statement of responsibility
- by Jianfeng Zhang
- 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.--
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- Provided by publisher
- Image bit depth
- 0
- Literary form
- non fiction
- Nature of contents
- dictionaries
- Series statement
-
- Springer eBooks
- Probability Theory and Stochastic Modelling,
- Series volume
- 86
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/resource/gP9btfHwxx8/" typeof="CreativeWork http://bibfra.me/vocab/lite/Work"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/resource/gP9btfHwxx8/">Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute</a></span></span></span></span></div>