Forward-Backward Stochastic Differential Equations and their Applications
This volume is a survey/monograph on the recently developed theory of forward-backward stochastic differential equations (FBSDEs). Basic techniques such as the method of optimal control, the "Four Step Scheme", and the method of continuation are presented in full. Related topics such as ba...
| Main Authors: | , |
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| Corporate Author: | |
| Language: | English |
| Published: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2007.
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| Edition: | 1st ed. 2007. |
| Series: | Lecture Notes in Mathematics,
1702 |
| Subjects: | |
| Online Access: | https://doi.org/10.1007/978-3-540-48831-6 |
Table of Contents:
- Linear Equations
- Method of Optimal Control
- Four Step Scheme
- Linear, Degenerate Backward Stochastic Partial Di erential Equations
- The Method of Continuation
- FBSDEs with Reflections
- Applications of FBSDEs
- Numerical Methods for FBSDEs.