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Stochastic Differential Equations, Backward SDEs, Partial Differential Equations
ISBN-13:
9783319057149
Veröffentl:
2014
Seiten:
667
Autor:
Etienne Pardoux
Serie:
69, Stochastic Modelling and Applied Probability
eBook Typ:
PDF
eBook Format:
EPUB
Kopierschutz:
1 - PDF Watermark
Sprache:
Englisch
Beschreibung:
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.
Introduction.- Background of Stochastic Analysis.- Ito's Stochastic Calculus.- Stochastic Differential Equations.- SDE with Multivalued Drift.- Backward SDE.- Annexes.- Bibliography.- Index. ¿ ¿
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