Forward-backward stochastic differential equations and their applications
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Publication:1294779
comparison theoremFeynman-Kac formulaforward-backward stochastic differential equationAmerican optionscontinuation methodBlack-Scholes formulafour-step-scheme
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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