Forward-Backward Stochastic Differential Equations and their Applications
Jin Ma,Jiongmin Yong
Forward-Backward Stochastic Differential Equations and their Applications
Jin Ma,Jiongmin Yong
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This book is a survey/monograph on the recently developed theory of forward-backward stochastic differential equations (FBSDEs). Basic techniques such as the method of optimal control, the Four Step Scheme , and the method of continuation are presented in full. Related topics such as backward stochastic PDEs and many applications of FBSDEs are also discussed in detail. The book is suitable for readers with basic knowledge of stochastic differential equations, and some exposure to the stochastic control theory and PDEs. The book can be used for researchers and/or senior graduate students in the areas of probability, control theory, mathematical finance, and other related fields.
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