Backward Stochastic Differential Equations and BMO martingales

Backward Stochastic Differential Equations and BMO martingales


Marketed By :  LAP LAMBERT Academic Publishing   Sold By :  Kamal Books International  
Delivery in :  10-12 Business Days

₹ 2,153

Availability: Out of stock


Delivery :

5% Cashback on all Orders paid using MobiKwik Wallet T&C

Free Krispy Kreme Voucher on all Orders paid using UltraCash Wallet T&C
Product Out of Stock Subscription

(Notify me when this product is back in stock)

  • Product Description

This book consists of four chapters. In first chapter there is a short review of theory of Backward Stochastic Differential Equations (BSDEs) and Bounded Mean Oscillation (BMO) martingales. In second chapter an interesting connections between theory of BSDEs and BMO martingales is studied. Using the BSDE tool a new proofs of some classical results on BMO martingales are provided. In Third chapter we have studied Backward Stochastic Differential Equations with a convex generator of quadratic growth. Existence and uniqueness of a solution is proved for such equations driven by continuous martingale with unbounded characteristic. Results on the existence and uniqueness for BSDEs with quadratic growth we have used in fourth chapter, to solve the linear-quadratic regulator (LQR) problem in general martingale setting. We derived the corresponding BSDE for LQR problem and expressed the optimal strategy of LQR problem in terms of the unique solution of corresponding BSDE.

Product Specifications
SKU :COC54003
Country of ManufactureIndia
Product BrandLAP LAMBERT Academic Publishing
Product Packaging InfoBox
In The Box1 Piece
Product First Available On ClickOnCare.com2015-06-08
0 Review(s)