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Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory /

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...

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Bibliographic Details
Main Authors: Zhang, Jianfeng
Corporate Authors: SpringerLink Online service
Published: Springer New York : Imprint: Springer,
Publisher Address: New York, NY :
Publication Dates: 2017.
Literature type: eBook
Language: English
Series: Probability Theory and Stochastic Modelling, 86
Subjects:
Mathematics
Partial differential equations
Game theory
Economics, Mathematical
Numerical analysis
Probabilities
Economic Theory
Probability Theory and Stochastic Processes
Quantitative Finance
Game Theory, Economics, Social and Behav. Sciences
Economic Theory/Quantitative Economics/Mathematical Methods
Online Access: http://dx.doi.org/10.1007/978-1-4939-7256-2
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 theorie
Carrier Form: 1 online resource(XVI,249pages).
ISBN: 9781493972562
Index Number: QA273
CLC: O211.63
Contents: 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.

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