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Ouvrages Année : 2014

Stochastic Differential Equations, Backward SDEs, Partial Differential Equations

Etienne Pardoux
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Aurel Răşcanu
  • Fonction : Auteur

Résumé

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.
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Dates et versions

hal-01108223 , version 1 (22-01-2015)

Identifiants

Citer

Etienne Pardoux, Aurel Răşcanu. Stochastic Differential Equations, Backward SDEs, Partial Differential Equations. Springer, 69, 2014, Stochastic Modelling and Applied Probability, P.W. Glynn, Y. Le Jan, 978-3-319-05713-2. ⟨10.1007/978-3-319-05714-9⟩. ⟨hal-01108223⟩
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