Backward Stochastic Differential Equations

N El Karoui, Laurent Mazliak

January 17, 1997 by Chapman and Hall/CRC
Reference - 232 Pages
ISBN 9780582307339 - CAT# LM0733
Series: Chapman & Hall/CRC Research Notes in Mathematics Series


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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.