Stochastic Differential Equations, Backward SDEs, Partial Differential Equations

Étienne Pardoux; Aurel Răşcanu

doi:10.1007/978-3-319-05714-9

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Stochastic Differential Equations, Backward SDEs, Partial Differential Equations

Étienne Pardoux Aurel Răşcanu

Year: 2014 Stochastic modelling and applied probability

DOI: 10.1007/978-3-319-05714-9

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Keywords:

Mathematics Stochastic partial differential equation Stochastic differential equation Numerical partial differential equations First-order partial differential equation Applied mathematics Differential equation Mathematical analysis Partial differential equation Method of characteristics

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Stochastic Differential Equations, Backward SDEs, Partial Differential Equations

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