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

288 kr
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23 - 25 hverdage

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:
9781493984329
Indbinding:
Paperback
Udgave:
ISBN-10:
1493984322
Udg. Dato:
3 aug 2018
Længde:
0mm
Bredde:
155mm
Højde:
235mm
Forlag:
Springer-Verlag New York Inc.
Oplagsdato:
3 aug 2018
Forfatter(e):
Kategori sammenhænge