Aurel R¿¿canu / Etienne Pardoux
Stochastic Differential Equations, Backward SDEs, Partial Differential Equations
- Springer International Publishing
- 2014
- Gebunden
- 688 Seiten
- ISBN 9783319057132
This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics. It pays special attention to the relations between SDEs/BSDEs and second order PDEs under minimal regularity assumptions, and also extends those results to equations with multivalued coefficients. The authors present in particular the theory of reflected SDEs in the above mentioned framework and include exercises at the end of each chapter. Stochastic calculus and stochastic differential equations (SDEs) were first introduced by K. Itô in the 1940s, in order to construct the path of diffusion processes
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