Backward Stochastic Differential Equations

519.2

Zhang, Jianfeng. Backward Stochastic Differential Equations From Linear to Fully Nonlinear Theory / by Jianfeng Zhang. -
XVI, 388 p. online resource. - (Probability Theory and Stochastic Modelling, 86) Content notes : 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. 9781493972562 * Distribution (Probability theory. Finance. Mathematics. Differential equations, partial. Numerical analysis. Economic theory. 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. * Series