Backward Stochastic Differential Equations

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ISBN 9780582307339
Cat# LM0733

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Summary

This book presents the texts of seminars presented during the years 1995 and 1996 at the Université Paris VI and is the first attempt to present a survey on this subject. Starting from the classical conditions for existence and unicity of a solution in the most simple case-which requires more than basic stochartic calculus-several refinements on the hypotheses are introduced to obtain more general results.

Table of Contents

General Results on BSDE
Forward-Backward Systems
Stochastic Control and BSDE
Extensions and Applications