Stochastic Differential Equations, Backward SDEs, Partial Differential Equations
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 relation...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Cham :
Springer International Publishing
2014.
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| Colección: | Stochastic Modelling and Applied Probability ;
69. Springer eBooks. |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b32918458*spi |
Tabla de Contenidos:
- Introduction
- Background of Stochastic Analysis
- Ito’s Stochastic Calculus
- Stochastic Differential Equations
- SDE with Multivalued Drift
- Backward SDE
- Annexes
- Bibliography
- Index.
