Forward-backward stochastic differential equations and their applications

DOI10.1007/978-3-540-48831-6zbMath0927.60004OpenAlexW659339155MaRDI QIDQ1294779

Jin Ma, Jiong-min Yong

Publication date: 12 August 1999

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-48831-6

zbMATH Keywords

comparison theoremcontinuation methodAmerican optionsFeynman-Kac formulaforward-backward stochastic differential equationBlack-Scholes formulafour-step-scheme

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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