De Aller-Bedste Bøger - over 12 mio. danske og engelske bøger
Levering: 1 - 2 hverdage

Backward Stochastic Differential Equations

- From Linear to Fully Nonlinear Theory

Bag om Backward Stochastic Differential Equations

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.

Vis mere
  • Sprog:
  • Engelsk
  • ISBN:
  • 9781493972548
  • Indbinding:
  • Hardback
  • Sideantal:
  • 388
  • Udgivet:
  • 22. august 2017
  • Udgave:
  • 12017
  • Størrelse:
  • 162x237x27 mm.
  • Vægt:
  • 752 g.
  • 8-11 hverdage.
  • 16. januar 2025
På lager

Normalpris

Abonnementspris

- Rabat på køb af fysiske bøger
- 1 valgfrit digitalt ugeblad
- 20 timers lytning og læsning
- Adgang til 70.000+ titler
- Ingen binding

Abonnementet koster 75 kr./md.
Ingen binding og kan opsiges når som helst.

Beskrivelse af Backward Stochastic Differential Equations

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.

Brugerbedømmelser af Backward Stochastic Differential Equations



Find lignende bøger
Bogen Backward Stochastic Differential Equations findes i følgende kategorier: