Backward Stochastic Differential Equations

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Sprache: Englisch

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Beschreibung

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.

Über den Autor

Jianfeng Zhang is a professor of Mathematics at the University of Southern California, Los Angeles. His research interests include stochastic analysis, backward stochastic differential equations, stochastic numerics, and mathematical finance.

Zusammenfassung

Provides a systematic study from linear equations to fully nonlinear equations

Includes up-to-date developments in the field

A powerful and convenient tool for financial engineering and stochastic optimization

Accessible to graduate students and junior researchers

Inhaltsverzeichnis

Preliminaries.- Part I The Basic Theory of SDEs and BSDEs.- Basics of Stochastic Calculus.- Stochastic Differential Equations.- Backward Stochastic Differential Equations.- Markov BSDEs and PDEs.- Part II Further Theory of BSDEs.- Reflected BSDEs.- BSDEs with Quadratic Growth in Z.- Forward Backward SDEs.- Part III The Fully Nonlinear Theory of BSDEs.- Stochastic Calculus Under Weak Formulation.- Nonlinear Expectation.- Path Dependent PDEs.- Second Order BSDEs.. Bibliography.- Index.

Details

Erscheinungsjahr:	2018
Fachbereich:	Wahrscheinlichkeitstheorie
Genre:	Mathematik
Rubrik:	Naturwissenschaften & Technik
Medium:	Taschenbuch
Seiten:	404
Reihe:	Probability Theory and Stochastic Modelling
Inhalt:	xvi 388 S.
ISBN-13:	9781493984329
ISBN-10:	1493984322
Sprache:	Englisch
Ausstattung / Beilage:	Paperback
Einband:	Kartoniert / Broschiert
Autor:	Zhang, Jianfeng
Auflage:	Softcover reprint of the original 1st ed. 2017
Hersteller:	Springer US Springer New York Probability Theory and Stochastic Modelling
Maße:	235 x 155 x 22 mm
Von/Mit:	Jianfeng Zhang
Erscheinungsdatum:	03.08.2018
Gewicht:	0,61 kg

preigu-id: 115376588