Name: Forward-backward stochastic differential equations and their applications
ISBN: 9783540488316

Book information

Authors: Jin Ma verified identity, Jiongmin Yong verified identity
First published: 1999
Editions known: 3
Publishers: Springer
Languages: eng
ISBN-13: 9783540488316, 9783540659600
Main topics: Stochastic Calculus, Quantitative Finance
Also covers: Mathematical Finance, Numerical Methods
Related site topics: Stochastic Control & Optimal Stopping

Overview

Forward-backward stochastic differential equations and their applications is a book by Jin Ma and Jiongmin Yong, first published in 1999. In this catalogue it is classified mainly under Stochastic Calculus and Quantitative Finance, with secondary coverage of Mathematical Finance and Numerical Methods.

Audience and depth. The rule-based model places its mathematical difficulty at advanced level (8/10); readers are typically expected to know calculus, differential equations, linear algebra, numerical analysis, optimization, probability theory, statistics and stochastic processes.

Orientation. The metadata points to a theory-first treatment. The archive holds 6 papers whose topics and vocabulary overlap with this book; those links are inferred (see the research connections below).

How to read this page. Topics, difficulty, prerequisites and orientation are model-derived (rule-based, rule_based_v1) from bibliographic metadata such as title, subject headings and edition data. They were not produced by reading the book and are not a review. Relevance confidence is 96% and difficulty confidence is 95%; the catalogue lists no ratings or awards.

Research assessment

Rule-based and model-derived from metadata (title, subject headings, edition data). These are not reviews or ratings; see the evidence below.

Quant-finance relevance	70/100 confidence 96% Score 70.1/100. Strongest: quant_relevance 0.93, technical_depth 0.79; weakest: practical_applicability 0.00. Evidence: subjects:'quantitative finance', ol_description:'mathematical finance'.
Mathematical difficulty	Advanced (8/10) confidence 95%
Prerequisites	calculus, differential equations, linear algebra, numerical analysis, optimization, probability theory, statistics, stochastic processes
Practical orientation	Theoretical
Metadata quality	98%

Difficulty evidence (8 signals)

mathematical_finance_core matched in ol_description: “mathematical finance”
optimization matched in openalex_topics: “optimization”
probability_basics matched in ol_description: “probability”
probability_basics matched in subjects: “probability”
sde_pde matched in ol_description: “stochastic differential equations”
sde_pde matched in subjects: “stochastic differential equations”
sde_pde matched in title: “stochastic differential equations”
statistical_inference matched in subjects: “statistics”

Research connections

Related papers on this site

Similarity of research area (shared vocabulary, topics and methods). Not citations: the paper does not necessarily cite this book.

A forward differential deep learning-based algorithm for solving high-dimensional nonlinear backward stochastic differential equations Topic similarity inferred similarity 0.54
Optimal control of stochastic delay differential equations and applications to path-dependent financial and economic models Topic similarity inferred similarity 0.48
Representation of forward performance criteria with random endowment via FBSDE and its application to forward optimized certainty equivalent Topic similarity inferred similarity 0.48
Simultaneously Solving FBSDEs and their Associated Semilinear Elliptic PDEs with Small Neural Operators Topic similarity inferred similarity 0.47
A deep solver for backward stochastic Volterra integral equations Topic similarity inferred similarity 0.47
Backward Stochastic Differential Equations in Financial Mathematics Topic similarity inferred similarity 0.47

Methods covered

Optimization Methods inferred
Stochastic Calculus & Continuous-Time Models inferred

Similar books

Numerical Solution of Stochastic Differential Equations inferred similarity 0.74
Stochastic Integration in Banach Spaces inferred similarity 0.73
Backward Stochastic Differential Equations with Jumps and Their Actuarial and Financial Applications inferred similarity 0.72
Stochastic Differential Equations in Infinite Dimensions inferred similarity 0.71
Contemporary Quantitative Finance inferred similarity 0.71

Author profiles

Jin Ma verified identity
Jiongmin Yong verified identity

External resources

Open Library
DOI
Search on Amazon (ISBN-13 9783540659600) (search link; may be an affiliate link)

Relationship graph

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