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Backward Stochastic Differential Equations: From Linear to Fully Nonlinear Theory By Prof. Jianfeng Zhang
English | PDF | 2017 | 392 Pages | ISBN : 1493972545 | 4.72 MB
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.