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Field name	Details
Dewey Class	519.2
Title	Backward Stochastic Differential Equations ([EBook]) : From Linear to Fully Nonlinear Theory / / by Jianfeng Zhang.
Author	Zhang, Jianfeng
Other name(s)	SpringerLink (Online service)
Publication	New York, NY : : Springer New York : : Imprint: Springer, , 2017.
Physical Details	XVI, 388 p. : online resource.
Series	Probability Theory and Stochastic Modelling 2199-3130 ; ; 86
ISBN	9781493972562
Summary Note	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.:
Contents note	Preliminaries -- Part I The Basic Theory of SDEs and BSDEs -- Basics of Stochastic Calculus -- Stochastic Differential Equations -- Backward Stochastic Differential Equations -- Markov BSDEs and PDEs -- Part II Further Theory of BSDEs -- Reflected BSDEs -- BSDEs with Quadratic Growth in Z -- Forward Backward SDEs -- Part III The Fully Nonlinear Theory of BSDEs -- Stochastic Calculus Under Weak Formulation -- Nonlinear Expectation -- Path Dependent PDEs -- Second Order BSDEs.. Bibliography -- Index.
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users)
Internet Site	http://dx.doi.org/10.1007/978-1-4939-7256-2
Links to Related Works	Subject References: Economic theory . Economic Theory/Quantitative Economics/Mathematical Methods . Economics, Mathematical . Game Theory . Game Theory, Economics, Social and Behav. Sciences . Mathematics . Numerical Analysis . Partial differential equations . Probabilities . Probability theory and stochastic processes . Quantitative Finance . Authors: Zhang, Jianfeng . Corporate Authors: SpringerLink (Online service) . Series: Probability Theory and Stochastic Modelling . Classification: 519.2 .

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Backward Stochastic Differential Equations: From Linear to Fully Nonlinear Theory

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