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 pres
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LNM 1702
ISSN 0075-8434 ISBN 978-3-540-65960-0 ISBN 978-3-540-65960-0 90000
BarCode
99 7783540 8 3 5 4 0 6659600 59600
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Forward-Backward Stochastic Differential Equations and their Applications
This volume is a survey/monograph on the recently developed theory of forwardbackward 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 stochastic PDEs and many applications of FBSDEs are also discussed in detail. The volume is suitable for readers with basic knowledge of stochastic differential equations, and some exposure to the stochastic control theory and PDEs. It can be used for researchers and/or senior graduate students in the areas of probability, control theory, mathematical finance, and other related fields.
Lecture Notes in Mathematics
Lecture Notes in Mathematics
Jin Ma Jiongmin Yong
Forward-Backward Stochastic Differential Equations and their Applications
1702
Lecture Notes in Mathematics Editors: J.-M. Morel, Cachan F. Takens, Groningen B. Teissier, Paris
1702
Jin Ma Jiongmin Yong
Forward-Backward Stochastic Differential Equations and their Applications
Author Jin Ma Department of Mathematics Purdue University 150 N. University Street West Lafayette IN 47906-1395, USA e-mail: [email protected] Jiongmin Yong Department of Mathematics Fudan University Shanghai 200433 People’s Republic of China e-mail: [email protected]
Cataloging-in-Publication Data available
Mathematics Subject Classification (2000): PRIMARY: 60H10, 15, 20, 30; 93Eo3; SECONDARY: 35K15, 20, 45, 65; 65M06, 12, 15, 25; 65U05;90A09, 10, 12, 16 ISSN print edition: 0075-8434 ISBN-10 3-540-65960-9 Springer Berlin Heidelberg New York ISBN-13 978-3-540-65960-0 Springer Berlin Heidelberg New York Corrected 3rd printing DOI 10.1007/BFb0092524 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the
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