Titlebook: Stochastic Differential Equations, Backward SDEs, Partial Differential Equations; Etienne Pardoux,Aurel Rӑşcanu Book 2014 Springer Interna

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,Itô’s Stochastic Calculus,te standard versions of that formula, in particular for certain functions which do not satisfy the regularity assumptions of the basic result. In particular, we prove a .-dimensional version of the famous Tanaka formula, see Proposition 2.26 and the corollaries which follow. Those refined results wi

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Backward Stochastic Differential Equations,as the equations for the adjoint process in stochastic control, as well as the model behind the Black and Scholes formula for the pricing and hedging of options in mathematical finance. These linear BSDEs can be solved more or less explicitly (see Proposition 5.31 below). However, the first publishe

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