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Ma J., Yong J. — Forward-Backward Stochastic Differential Equations and their Applications (Lecture Notes in Mathematics)
Ma J., Yong J. — Forward-Backward Stochastic Differential Equations and their Applications (Lecture Notes in Mathematics)

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Название: Forward-Backward Stochastic Differential Equations and their Applications (Lecture Notes in Mathematics)

Авторы: Ma J., Yong J.

Аннотация:

The book deals with forward-backward stochastic differential equations, exactly what the title suggests. The prerequisites in stochastic processes are modest, knowledge at the level of Oksendal's Stochastic differential Eqiuations is more than sufficient.The proofs are detailed enough, so that they are mostly easy to follow.Generally, the subject matter is well motivated, an exception being chapter 5 (it is apparently needed for applying the four-step scheme in the coefficients are random, but I never got the connection.)It would have been helpful if more of the symbols used had been defined. There is a page near the beginning of the book, where some symbols are defined, but adding another page or two would render the book more easy to read.The book contains a fair number of typos, mostly of a harmless nature. (This is surprising as I read the "third corrected printing")Overall, I recommend it to anybody interested in this subject.


Язык: en

Рубрика: Разное/

Статус предметного указателя: Неизвестно

ed2k: ed2k stats

Год издания: 1999

Количество страниц: 281

Добавлена в каталог: 20.01.2018

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