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

Creator

• Zhang, Jianfeng

Subject

• Economics, Mathematical
• Game theory
• Mathematics
• Numerical analysis
• Partial differential equations
• Probabilities
• Economic theory

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

• Probability Theory and Stochastic Modelling,, 86
• Springer eBooks, Mathematics and Statistics Collection

Assigning source

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