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Backward Stochastic Differential Equations
- From Linear to Fully Nonlinear Theory
Engelsk
Bogcover for Backward Stochastic Differential Equations af Jianfeng Zhang, 9781493984329
Specifikationer
Sprog:
Engelsk
Sider:
388
ISBN-13:
9781493984329
Indbinding:
Paperback
ISBN-10:
1493984322
Udg. Dato:
3 aug 2018
Størrelse i cm:
23,3 x 15,6 x 2,5
Serie:
Probability Theory and Stochastic Modelling
Oplagsdato:
3 aug 2018
Forfatter(e):
Paperback 2018
Format:

Bog beskrivelse

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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Specifikationer
Sprog:
Engelsk
Sider:
388
ISBN-13:
9781493984329
Indbinding:
Paperback
ISBN-10:
1493984322
Udg. Dato:
3 aug 2018
Størrelse i cm:
23,3 x 15,6 x 2,5
Serie:
Probability Theory and Stochastic Modelling
Oplagsdato:
3 aug 2018
Forfatter(e):
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