Backward Stochastic Differential Equations: 1st Edition (Hardback) book cover

Backward Stochastic Differential Equations

1st Edition

By N El Karoui, Laurent Mazliak

Chapman and Hall/CRC

232 pages

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Hardback: 9780582307339
pub: 1997-01-17
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Description

This book presents the texts of seminars presented during the years 1995 and 1996 at the Université Paris VI and is the first attempt to present a survey on this subject. Starting from the classical conditions for existence and unicity of a solution in the most simple case-which requires more than basic stochartic calculus-several refinements on the hypotheses are introduced to obtain more general results.

Table of Contents

General Results on BSDE

Forward-Backward Systems

Stochastic Control and BSDE

Extensions and Applications

About the Series

Chapman & Hall/CRC Research Notes in Mathematics Series

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Subject Categories

BISAC Subject Codes/Headings:
MAT007000
MATHEMATICS / Differential Equations