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Backward Stochastic Differential Equations
- From Linear to Fully Nonlinear Theory
Engelsk Hardback
Backward Stochastic Differential Equations
- From Linear to Fully Nonlinear Theory
Engelsk Hardback

720 kr
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Om denne bog

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.

Product detaljer
Sprog:
Engelsk
Sider:
388
ISBN-13:
9781493972548
Indbinding:
Hardback
Udgave:
ISBN-10:
1493972545
Udg. Dato:
22 aug 2017
Længde:
27mm
Bredde:
162mm
Højde:
237mm
Forlag:
Springer-Verlag New York Inc.
Oplagsdato:
22 aug 2017
Forfatter(e):
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