The Resource Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory, by Jianfeng Zhang, (electronic resource)

Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory, by Jianfeng Zhang, (electronic resource)

Label
Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory
Title
Backward Stochastic Differential Equations
Title remainder
From Linear to Fully Nonlinear Theory
Statement of responsibility
by Jianfeng Zhang
Creator
Contributor
Author
Provider
Subject
Language
eng
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 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
Member of
http://library.link/vocab/creatorName
Zhang, Jianfeng
Image bit depth
0
LC call number
  • QA273.A1-274.9
  • QA274-274.9
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
SpringerLink
Series statement
Probability Theory and Stochastic Modelling,
Series volume
86
http://library.link/vocab/subjectName
  • Mathematics
  • Differential equations, Partial
  • Game theory
  • Economics, Mathematical
  • Numerical analysis
  • Probabilities
  • Economics
  • Mathematics
  • Probability Theory and Stochastic Processes
  • Quantitative Finance
  • Game Theory, Economics, Social and Behav. Sciences
  • Partial Differential Equations
  • Numerical Analysis
  • Economic Theory/Quantitative Economics/Mathematical Methods
Label
Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory, by Jianfeng Zhang, (electronic resource)
Instantiates
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Extent
XVI, 388 p.
File format
multiple file formats
Form of item
electronic
Isbn
9781493972562
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-1-4939-7256-2
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(DE-He213)978-1-4939-7256-2
Label
Backward Stochastic Differential Equations : From Linear to Fully Nonlinear Theory, by Jianfeng Zhang, (electronic resource)
Publication
Antecedent source
mixed
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
not applicable
Content category
text
Content type code
txt
Content type MARC source
rdacontent
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
Dimensions
unknown
Extent
XVI, 388 p.
File format
multiple file formats
Form of item
electronic
Isbn
9781493972562
Level of compression
uncompressed
Media category
computer
Media MARC source
rdamedia
Media type code
c
Other control number
10.1007/978-1-4939-7256-2
Other physical details
online resource.
Quality assurance targets
absent
Reformatting quality
access
Specific material designation
remote
System control number
(DE-He213)978-1-4939-7256-2

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