BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS by Nicole El Karoui, Laurent Mazliak ( 9780582307339 )

Item Details

Title:

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS

By:

Nicole El Karoui, Laurent Mazliak

Format:

Hardback

List price:

£140.00

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£129.50

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£10.50

ISBN 10:

0582307333

ISBN 13:

9780582307339

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Publisher:

TAYLOR & FRANCIS LTD

Pub. date:

17 January, 1997

Series:

Chapman & Hall/CRC Research Notes in Mathematics Series No. 364

Pages:

232

Description:

Presenting seminars given in 1995 and 1996 at the University of Paris VI, this text surveys the subject of backward stochastic differential equations. It may be read as an introduction to the topic as well as a reference to more recent developments of the theory.

Synopsis:

This book presents the texts of seminars presented during the years 1995 and 1996 at the Universite 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.

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Imprint:

CRC Press

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Non-returnable

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