Backward Stochastic Differential Equations

From Linear to Fully Nonlinear Theory

By:

Jianfeng Zhang

Format:

Hardback

Series:

Probability Theory and Stochastic Modelling

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Description

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.

Author Biography:

Jianfeng Zhang is a professor of Mathematics at the University of Southern California, Los Angeles. His research interests include stochastic analysis, backward stochastic differential equations, stochastic numerics, and mathematical finance.

Release date Australia

August 22nd, 2017

Author

Jianfeng Zhang

Audience

Professional & Vocational

Edition

1st ed. 2017

Illustrations

XVI, 388 p.

Pages

388

Series

Probability Theory and Stochastic Modelling

ISBN-13

9781493972548

Product ID

26820694

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