Titlebook: Backward Stochastic Differential Equations; From Linear to Fully Jianfeng Zhang Textbook 2017 Springer Science+Business Media LLC 2017 Stoc

IST

蔓藤圖飾

Tractable

The Role of Space in Deterrence stochastic control and stochastic differential games. However, in path dependent case, even a heat equation may not have a classical solution. We thus turn to viscosity solutions. We shall introduce a new notion of viscosity solution and establish its well-posedness, including the comparison principle.

Perigee

mydriatic

Path Dependent PDEs stochastic control and stochastic differential games. However, in path dependent case, even a heat equation may not have a classical solution. We thus turn to viscosity solutions. We shall introduce a new notion of viscosity solution and establish its well-posedness, including the comparison principle.

招人嫉妒

Foreknowledge

Stochastic Calculus Under Weak FormulationIn this chapter we present some basic materials crucial for the theory. While we will try our best to make the presentation self-contained, due to the limit of the pages we will have to borrow some results from the standard literature of stochastic calculus, e.g., Karatzas & Shreve [.] and Revuz & Y

Intrepid

Path Dependent PDEsar PPDE and thus the nonlinear Feynman-Kac formula is extended to non-Markov case. In this chapter we are most interested in fully nonlinear parabolic PPDEs, typically path dependent Hamilton-Jacobi-Bellman equations and path dependent Bellman-Isaacs equations, due to their important applications in

忘恩負(fù)義的人

Second Order BSDEshe pathwise approach for the viscosity theory in the previous chapter, in this chapter the main tool is the quasi-sure stochastic analysis. An application in an uncertain volatility model is also presented.

Badger

Motion of the Thermal in Static Thermal-Stratified Water,ter was studied. According to the experimental observation, the motion of thermals in different temperature profile water bodies was significantly different. The horizontal diffusion of thermal was damped in the linear stratified water. If the thermocline existed in stratified water, the thermal wou