Backward Stochastic Differential Equations (Research Notes in Mathematics Series)

Karoui, Nicole El (EDT)/ Mazliak, Laurent (EDT)

Chapman & Hall（1997/01発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 232 p.
• 言語 ENG
• 商品コード 9780582307339
• DDC分類 515

基本説明

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.

Full Description

This book presents the texts of seminars presented during the years 1995 and 1996 at the Universite 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.

Contents

General Results on BSDEForward-Backward SystemsStochastic Control and BSDEExtensions and Applications