| 书目名称 | Stochastic Differential Equations, Backward SDEs, Partial Differential Equations | | 编辑 | Etienne Pardoux,Aurel Rӑşcanu | | 视频video | | | 概述 | Written by experts.Includes exercises at the end of each chapter.Offers a natural mathematical framework for the formulation of many new models in Finance | | 丛书名称 | Stochastic Modelling and Applied Probability | | 图书封面 |  | | 描述 | .This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics. It pays special attention to the relations between SDEs/BSDEs and second order PDEs under minimal regularity assumptions, and also extends those results to equations with multivalued coefficients. The authors present in particular the theory of reflected SDEs in the above mentioned framework and include exercises at the end of each chapter..Stochastic calculus and stochastic differential equations (SDEs) were first introduced by K. Itô in the 1940s, in order to construct the path of diffusion processes (which are continuous time Markov processes with continuous trajectories taking their values in a finite dimensional vector space or manifold), which had been studied from a more analytic point of view by Kolmogorov in the 1930s. Since then, this topic has become an important subject of Mathematics and Applied Mathematics, because of its mathematical richness and its importance for applications in many areas of Physics, Biology, | | 出版日期 | Book 2014 | | 关键词 | 60H05, 60H10, 60J60, 35D40; Feynman-Kac formula; backward stochastic differential equations; reflected | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-319-05714-9 | | isbn_softcover | 978-3-319-34775-2 | | isbn_ebook | 978-3-319-05714-9Series ISSN 0172-4568 Series E-ISSN 2197-439X | | issn_series | 0172-4568 | | copyright | Springer International Publishing Switzerland 2014 |
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书目名称Stochastic Differential Equations, Backward SDEs, Partial Differential Equations影响因子(影响力)
书目名称Stochastic Differential Equations, Backward SDEs, Partial Differential Equations影响因子(影响力)学科排名
书目名称Stochastic Differential Equations, Backward SDEs, Partial Differential Equations网络公开度
书目名称Stochastic Differential Equations, Backward SDEs, Partial Differential Equations网络公开度学科排名
书目名称Stochastic Differential Equations, Backward SDEs, Partial Differential Equations被引频次
书目名称Stochastic Differential Equations, Backward SDEs, Partial Differential Equations被引频次学科排名
书目名称Stochastic Differential Equations, Backward SDEs, Partial Differential Equations年度引用
书目名称Stochastic Differential Equations, Backward SDEs, Partial Differential Equations年度引用学科排名
书目名称Stochastic Differential Equations, Backward SDEs, Partial Differential Equations读者反馈
书目名称Stochastic Differential Equations, Backward SDEs, Partial Differential Equations读者反馈学科排名
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发表于 2025-3-21 19:26:32
