Forward-Backward Stochastic Differential Equations and Their Applications

by Jiongmin Yong and Jin Ma

This book is intended to give an introduction to the theory of forwa- backward stochastic di erential equations (FBSDEs, for short) which has received strong attention in recent years because of its interesting structure and its usefulness in various applied elds. The motivation for studying FBSDEs comes originally from stochastic optimal control theory, that is, the adjoint equation in the Pontryagin-type maximum principle. The earliest version of...

• Format: Paperback
• Language: English
• ISBN: 3540659609
• ISBN13: 9783540659600
• Release Date: June 1999
• Publisher: Springer
• Length: 278 Pages
• Weight: 0.91 lbs.
• Dimensions: 0.6" x 6.1" x 9.2"