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Frontiers in Stochastic Analysis–BSDEs, SPDEs and their Applications

Edinburgh, July 2017 Selected, Revised and Extended Contributions

  • Samuel N. Cohen
  • István Gyöngy
  • Gonҫalo dos Reis
  • David Siska
  • Łukasz Szpruch
Conference proceedings BSDE-SPDE 2017

Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 289)

Table of contents

About these proceedings

Introduction

This collection of selected, revised and extended contributions resulted from a Workshop on BSDEs, SPDEs and their Applications that took place in Edinburgh, Scotland, July 2017 and included the 8th World Symposium on BSDEs. 

The volume addresses recent advances involving backward stochastic differential equations (BSDEs) and stochastic partial differential equations (SPDEs). These equations are of fundamental importance in modelling of biological, physical and economic systems, and underpin many problems in control of random systems, mathematical finance, stochastic filtering and data assimilation. The papers in this volume seek to understand these equations, and to use them to build our understanding in other areas of mathematics.

This volume will be of interest to those working at the forefront of modern probability theory, both established researchers and graduate students.


Keywords

60-06, 91-06 BSDEs World Symposium SPDEs Stochastic Control Filtering Mathematical Finance Enlargement of Filtration McKean Equations Martingale Representation Uncertainty Option Pricing Forward Utility Path Dependence

Editors and affiliations

  • Samuel N. Cohen
    • 1
  • István Gyöngy
    • 2
  • Gonҫalo dos Reis
    • 3
  • David Siska
    • 4
  • Łukasz Szpruch
    • 5
  1. 1.Mathematical InstituteUniversity of OxfordOxfordUK
  2. 2.School of MathematicsUniversity of EdinburghEdinburghUK
  3. 3.School of MathematicsUniversity of EdinburghEdinburghUK
  4. 4.School of MathematicsUniversity of EdinburghEdinburghUK
  5. 5.School of MathematicsUniversity of EdinburghEdinburghUK

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