Stochastic Differential Equations, Backward SDEs, Partial Differential Equations (Record no. 1431503)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 03013cam a22002775i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 21733063 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250609121353.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 140624s2014 gw |||| o |||| 0|eng |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783319057132 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | CSL |
| Transcribing agency | CSL |
| 041 ## - LANGUAGE CODE | |
| Source of code | eng |
| Language code of text/sound track or separate title | eng |
| 084 ## - COLON CLASSIFICATION NUMBER | |
| Classification number | B2811 Q4 |
| Assigning agency | CSL |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Pardoux, Etienne, |
| Relator term | author. |
| 9 (RLIN) | 812185 |
| 245 10 - TITLE STATEMENT | |
| Title | Stochastic Differential Equations, Backward SDEs, Partial Differential Equations |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | Cham : |
| Name of producer, publisher, distributor, manufacturer | Springer, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2014. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | xvi, 667 p. |
| Dimensions | 24 cm |
| 490 1# - SERIES STATEMENT | |
| Series statement | Stochastic Modelling and Applied Probability ; |
| Volume/sequential designation | 69 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | 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. Stochastic calculus and stochastic differential equations (SDEs) were first introduced by K. Itô in the 1940s, in order to construct the path of diffusion processes (which are continuous time Markov processes with continuous trajectories taking their values in a finite dimensional vector space or manifold), which had been studied from a more analytic point of view by Kolmogorov in the 1930s. Since then, this topic has become an important subject of Mathematics and Applied Mathematics, because of its mathematical richness and its importance for applications in many areas of Physics, Biology, Economics and Finance, where random processes play an increasingly important role. One important aspect is the connection between diffusion processes and linear partial differential equations of second order, which is in particular the basis for Monte Carlo numerical methods for linear PDEs. Since the pioneering work of Peng and Pardoux in the early 1990s, a new type of SDEs called backward stochastic differential equations (BSDEs) has emerged. The two main reasons why this new class of equations is important are the connection between BSDEs and semilinear PDEs, and the fact that BSDEs constitute a natural generalization of the famous Black and Scholes model from Mathematical Finance, and thus offer a natural mathematical framework for the formulation of many new models in Finance. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Partial differential equations. |
| 9 (RLIN) | 426149 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Probabilities. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Probability Theory and Stochastic Processes. |
| 9 (RLIN) | 812186 |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | Partial Differential Equations. |
| 9 (RLIN) | 426149 |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Răşcanu, Aurel, |
| Relator term | co-author. |
| 9 (RLIN) | 812187 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Stochastic Modelling and Applied Probability ; |
| Volume/sequential designation | 69 |
| 9 (RLIN) | 812188 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Colon Classification (CC) |
| Suppress in OPAC | No |
| Koha item type | Textual |
| Classification part | B2811 Q4 NBHM |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Date acquired | Source of acquisition | Total Checkouts | Full call number | Barcode | Date last seen | Price effective from | Koha item type |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Colon Classification (CC) | Central Science Library | Faculty of Mathematical Sciences Library | 2025-01-06 | New India Book Agency | B2811 Q4 NBHM | SL1656200 | 2025-06-09 | 2025-06-09 | Textual |