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Backward Stochastic Differential Equations - From Linear to Fully Nonlinear Theory (Paperback, Softcover reprint of the original 1st ed. 2017)
Loot Price: R741
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Backward Stochastic Differential Equations - From Linear to Fully Nonlinear Theory (Paperback, Softcover reprint of the original 1st ed. 2017)
Series: Probability Theory and Stochastic Modelling, 86
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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. The book
focuses on ideas and clarity, with most results having been solved
from scratch and most theories being motivated from applications.
It can be considered a starting point for junior researchers in the
field, and can serve as a textbook for a two-semester graduate
course in probability theory and stochastic analysis. It is also
accessible for graduate students majoring in financial engineering.
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