Forward-backward stochastic differential equations and their applications

by Jin Ma, Jiongmin Yong

1999 270 pages eng

Integral equations Medical / General Probability & Statistics - General Probability Theory and Stochastic Processes Probability & Statistics Distribution (Probability theory) Stochastic processes Differential equations Business / Economics / Finance Science/Mathematics Finance Mathematics Textbooks General

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 backward sto…

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Forward-backward stochastic differential equations and their applications

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