Chapman & Hall/CRC Research Notes in Mathematics

1 primary work

Backward Stochastic Differential Equations

by Nicole El Karoui and Laurent Mazliak

Published 17 January 1997

This book presents the texts of seminars presented during the years 1995 and 1996 at the Universite Paris VI and is the first attempt to present a survey on this subject. Starting from the classical conditions for existence and unicity of a solution in the most simple case-which requires more than basic stochartic calculus-several refinements on the hypotheses are introduced to obtain more general results.