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Stochastic Differential Equations, Backward SDEs, Partial Differential Equations (Stochastic Modelling and Applied Probability, 69)

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4.81
14,809 ratings · 6,251 reviews
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OFFICIAL VERIFIED

Stochastic Differential Equations, Backward SDEs, Partial Differential Equations (Stochastic Modelling and Applied Probability, 69)

4.81 14,809 ratings · 6,251 reviews
Discover Stochastic Differential Equations, Backward SDEs, Partial Differential Equations (Stochastic Modelling and Applied Probability, 69) by Étienne Pardoux. Start reading today and explore ideas, insights, and experiences that stay with you.

Overview: This research monograph presents results to researchers in stochastic calculus, forward and backward stochastic differential equations, connections between diffusion processes and second order partial differential equations (PDEs), and financial mathematics. It pays special attention to the relations between SDEs/BSDEs and second order PDEs under minimal regularity assumptions, and also extends those results to equations with multivalued coefficients. The authors present in particular the theory of reflected SDEs in the above mentioned framework and include exercises at the end of each chapter.Stochastic calculus and stochastic differential equations (SDEs) were first introduced by K. Ito in the 1940s, in order to construct the path of diffusion processes (which are continuous time Markov processes with continuous trajectories taking their values in a finite dimensional vector space or manifold), which had been studied from a more analytic point of view by Kolmogorov in the 1930s. Since then, this topic has become an important subject of Mathematics and Applied Mathematics, because of its mathematical richness and its importance for applications in many areas of Physics, Biology, Economics and Finance, where random processes play an increasingly important role. One important aspect is the connection between diffusion processes and linear partial differential equations of second order, which is in particular the basis for Monte Carlo numerical methods for linear PDEs. Since the pioneering work of Peng and Pardoux in the early 1990s, a new type of SDEs called backward stochastic differential equations (BSDEs) has emerged. The two main reasons why this new class of equations is important are the connection between BSDEs and semilinear PDEs, and the fact that BSDEs constitute a natural generalization of the famous Black and Scholes model from Mathematical Finance, and thus offer a natural mathematical framework for the formulation of many new models in Finance."

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Details & Genres

Math Probability
Length N/A pages
Published June 4, 2014
ISBN-13 20921533

More Books By: Étienne Pardoux


Étienne Pardoux
About the Author Étienne Pardoux
12,498 followers

Étienne Pardoux is a writer and avid reader based in the Pacific Northwest. Before pursuing writing full-time, they spent over a decade working in education. When not working on their next book, Étienne Pardoux can usually be found hiking with their dog or trying out new coffee shops in their neighborhood.

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Stephanie Green
Stephanie Green November 19, 2024
It was just alright. It had some good moments, but the overall plot felt a bit disjointed in the second half. Probably won't read it again, but it was an okay way to pass the time.
Daniel Roberts
Daniel Roberts November 25, 2024
Glad someone recommended this to me. The writing style is very engaging. It’s easy to follow but still has a lot of depth. Would probably read it again at some point.
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Michelle Mitchell
Michelle Mitchell March 30, 2025
Finished it in a couple of days. The author did a great job wrapping everything up at the end. No weird plot holes left behind. A solid 5/5 for me.
Deborah Nelson
Deborah Nelson August 13, 2025
I was pleasantly surprised. I loved how the story unfolded. It kept me guessing without being too confusing. Glad I picked this up.
Jessica Martin
Jessica Martin April 22, 2024
I have mixed feelings about this one. The pacing was a bit slow and I found myself skimming a few pages. It wasn't terrible, just okay. Probably won't read it again, but it was an okay way to pass the time.
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Robert Wilson April 04, 2025
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Mary Edwards January 28, 2024
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Amanda Hernandez December 03, 2025
Glad someone recommended this to me. I loved how the story unfolded. It kept me guessing without being too confusing. Will be looking for more from this author.
Jessica Rodriguez
Jessica Rodriguez November 08, 2025
Not bad, but not my favorite. The pacing was a bit slow and I found myself skimming a few pages. It wasn't terrible, just okay. Just right down the middle.
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Jessica Jones May 25, 2025
Glad someone recommended this to me. The author did a great job wrapping everything up at the end. No weird plot holes left behind. Worth the time and money.
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Lisa Rivera April 30, 2025
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Carol Johnson June 04, 2024
A very satisfying read. The writing style is very engaging. It’s easy to follow but still has a lot of depth. Would probably read it again at some point.
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Mary Perez
Mary Perez September 23, 2024
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Emily Wright
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Such a great read. I got really invested in the main character's journey. Everything just clicked for me. Definitely recommend it if you like this genre.
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Cynthia Hernandez March 29, 2024
A solid read. Interesting premise and executed fairly well. Just a few slow chapters here and there. Not bad at all.
Barbara Johnson
Barbara Johnson May 26, 2024
I was pleasantly surprised. I loved how the story unfolded. It kept me guessing without being too confusing. Definitely recommend it if you like this genre.
Richard Phillips
Richard Phillips March 01, 2024
I liked it for the most part. Writing is good, just wish there was a bit more depth in certain parts. Still kept my attention though. I'd probably recommend it to a friend.
Christopher Lewis
Christopher Lewis September 05, 2024
I liked it for the most part. The middle dragged a tiny bit, but the ending totally made up for it. A solid 4 stars from me.
Kimberly Evans
Kimberly Evans July 20, 2024
I liked it for the most part. Writing is good, just wish there was a bit more depth in certain parts. Still kept my attention though. Not bad at all.
Ryan White
Ryan White June 19, 2025
Took me a few chapters to get into it, but it was worth it. Writing is good, just wish there was a bit more depth in certain parts. Still kept my attention though. Not bad at all.
Robert Lopez
Robert Lopez November 28, 2024
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Matthew Scott
Matthew Scott September 29, 2024
I was pleasantly surprised. It has a good balance of dialogue and description. Everything felt like it moved at the right speed. Worth the time and money.
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Deborah Perez June 01, 2025
Honestly one of the better books I've read lately. The author did a great job wrapping everything up at the end. No weird plot holes left behind. Would probably read it again at some point.
Michelle Carter
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Sarah Perez
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Edward  Davis
Edward Davis April 13, 2024
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Michelle  Parker
Michelle Parker February 23, 2025
Honestly one of the better books I've read lately. It has a good balance of dialogue and description. Everything felt like it moved at the right speed. Would probably read it again at some point.
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Honestly one of the better books I've read lately. I loved how the story unfolded. It kept me guessing without being too confusing. Glad I picked this up.
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Dorothy Torres June 27, 2024
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Cynthia Hernandez
Cynthia Hernandez March 19, 2024
Took me a few chapters to get into it, but it was worth it. Interesting premise and executed fairly well. Just a few slow chapters here and there. Still a good book.
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Sandra Evans
Sandra Evans February 17, 2025
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Jennifer Lee
Jennifer Lee September 10, 2024
It was just alright. The pacing was a bit slow and I found myself skimming a few pages. It wasn't terrible, just okay. Might work better for someone else, just wasn't completely for me.
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Glad someone recommended this to me. I got really invested in the main character's journey. Everything just clicked for me. Glad I picked this up.
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Jacob Martin
Jacob Martin November 10, 2025
Glad someone recommended this to me. The pacing was spot on and the characters felt real. I didn't find myself getting bored at any point. Definitely recommend it if you like this genre.
George Phillips
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Glad someone recommended this to me. The author did a great job wrapping everything up at the end. No weird plot holes left behind. Definitely recommend it if you like this genre.
Sandra Edwards
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Pretty good overall. The middle dragged a tiny bit, but the ending totally made up for it. Not bad at all.
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Cynthia Edwards
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An average read for me. It felt a bit repetitive in the middle. Could have been shorter. Probably won't read it again, but it was an okay way to pass the time.
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Honestly one of the better books I've read lately. I loved how the story unfolded. It kept me guessing without being too confusing. Definitely recommend it if you like this genre.
Daniel Jones
Daniel Jones February 24, 2024
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Jacob Martin
Jacob Martin October 27, 2024
I liked it for the most part. Interesting premise and executed fairly well. Just a few slow chapters here and there. Not bad at all.
Gary Robinson
Gary Robinson December 13, 2025
Glad someone recommended this to me. The writing style is very engaging. It’s easy to follow but still has a lot of depth. Worth the time and money.
David Campbell
David Campbell January 10, 2024
I liked it for the most part. Interesting premise and executed fairly well. Just a few slow chapters here and there. Enjoyable weekend read.
Jennifer Robinson
Jennifer Robinson June 11, 2025
I was pleasantly surprised. I got really invested in the main character's journey. Everything just clicked for me. Will be looking for more from this author.
Karen  Parker
Karen Parker March 22, 2025
It was okay. The writing was fine, but I didn't feel very connected to the characters. They felt a bit flat. Just right down the middle.
Laura Torres
Laura Torres July 31, 2025
Finished it in a couple of days. The pacing was spot on and the characters felt real. I didn't find myself getting bored at any point. Will be looking for more from this author.
George Perez
George Perez March 29, 2024
Such a great read. The author did a great job wrapping everything up at the end. No weird plot holes left behind. Would probably read it again at some point.
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Joseph Johnson February 09, 2025
Such a great read. I got really invested in the main character's journey. Everything just clicked for me. Will be looking for more from this author.
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Karen Green December 20, 2024
Honestly one of the better books I've read lately. I got really invested in the main character's journey. Everything just clicked for me. Will be looking for more from this author.
Nicholas Phillips
Nicholas Phillips November 15, 2024
Took me a few chapters to get into it, but it was worth it. It held my attention, even if a few things were a little predictable. Enjoyable weekend read.
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Carol Williams July 13, 2025
A very satisfying read. The pacing was spot on and the characters felt real. I didn't find myself getting bored at any point. Worth the time and money.
Anthony Reyes
Anthony Reyes May 30, 2025
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Honestly one of the better books I've read lately. I got really invested in the main character's journey. Everything just clicked for me. Would probably read it again at some point.
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An average read for me. Some parts were interesting, while others were a bit of a slog to get through. It's fine if you have nothing else to read.
Michael Johnson
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Linda Walker November 10, 2024
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Laura Thompson May 05, 2025
I liked it for the most part. Writing is good, just wish there was a bit more depth in certain parts. Still kept my attention though. Enjoyable weekend read.
Carol Hernandez
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Anthony Mitchell
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I was pleasantly surprised. I loved how the story unfolded. It kept me guessing without being too confusing. Glad I picked this up.
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Anthony Wilson February 18, 2025
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Brian Hill
Brian Hill May 25, 2024
I was pleasantly surprised. It has a good balance of dialogue and description. Everything felt like it moved at the right speed. Worth the time and money.
Daniel Allen
Daniel Allen November 20, 2024
Honestly one of the better books I've read lately. The author did a great job wrapping everything up at the end. No weird plot holes left behind. Definitely recommend it if you like this genre.
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Honestly one of the better books I've read lately. The author did a great job wrapping everything up at the end. No weird plot holes left behind. Will be looking for more from this author.
Betty Jackson
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Finished it in a couple of days. I loved how the story unfolded. It kept me guessing without being too confusing. Worth the time and money.
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George Martin April 16, 2024
Good, but not quite perfect. The middle dragged a tiny bit, but the ending totally made up for it. Not bad at all.
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Betty Martinez May 31, 2024
Such a great read. I loved how the story unfolded. It kept me guessing without being too confusing. Will be looking for more from this author.
Deborah Mitchell
Deborah Mitchell November 05, 2025
A very satisfying read. I got really invested in the main character's journey. Everything just clicked for me. Would probably read it again at some point.
Donald Brown
Donald Brown December 03, 2024
An average read for me. The writing was fine, but I didn't feel very connected to the characters. They felt a bit flat. Probably won't read it again, but it was an okay way to pass the time.
Daniel Allen
Daniel Allen June 16, 2024
I was pleasantly surprised. I loved how the story unfolded. It kept me guessing without being too confusing. Will be looking for more from this author.
Paul Lee
Paul Lee July 16, 2024
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Rebecca Rodriguez
Rebecca Rodriguez May 16, 2025
I have mixed feelings about this one. The writing was fine, but I didn't feel very connected to the characters. They felt a bit flat. Just right down the middle.
Rebecca Wright
Rebecca Wright June 19, 2025
I liked it for the most part. The middle dragged a tiny bit, but the ending totally made up for it. Not bad at all.
Lisa Rivera
Lisa Rivera February 24, 2024
A very satisfying read. The writing style is very engaging. It’s easy to follow but still has a lot of depth. Definitely recommend it if you like this genre.
Elizabeth Smith
Elizabeth Smith March 17, 2024
I liked it for the most part. I liked the main character, though some of the side plots were just okay. Enjoyable weekend read.
Margaret Rivera
Margaret Rivera February 04, 2025
Good, but not quite perfect. Interesting premise and executed fairly well. Just a few slow chapters here and there. I'd probably recommend it to a friend.
Rebecca Baker
Rebecca Baker January 07, 2025
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Daniel Campbell
Daniel Campbell June 16, 2024
Really enjoyed this one. I got really invested in the main character's journey. Everything just clicked for me. Will be looking for more from this author.
Susan Williams
Susan Williams September 17, 2025
Really enjoyed this one. I got really invested in the main character's journey. Everything just clicked for me. A solid 5/5 for me.
Daniel Jones
Daniel Jones March 15, 2025
Such a great read. I loved how the story unfolded. It kept me guessing without being too confusing. Glad I picked this up.
Ashley Ramirez
Ashley Ramirez October 02, 2024
Glad someone recommended this to me. The pacing was spot on and the characters felt real. I didn't find myself getting bored at any point. Will be looking for more from this author.
Paul Lee
Paul Lee December 31, 2024
Took me a few chapters to get into it, but it was worth it. Writing is good, just wish there was a bit more depth in certain parts. Still kept my attention though. Enjoyable weekend read.
Daniel Roberts
Daniel Roberts October 20, 2024
Pretty good overall. Interesting premise and executed fairly well. Just a few slow chapters here and there. Enjoyable weekend read.
George Perez
George Perez September 12, 2025
Good, but not quite perfect. It held my attention, even if a few things were a little predictable. Enjoyable weekend read.
Charles Lee
Charles Lee June 07, 2025
An average read for me. The pacing was a bit slow and I found myself skimming a few pages. It wasn't terrible, just okay. Might work better for someone else, just wasn't completely for me.
John Gomez
John Gomez March 09, 2025
I was pleasantly surprised. The writing style is very engaging. It’s easy to follow but still has a lot of depth. A solid 5/5 for me.
Lisa Diaz
Lisa Diaz March 05, 2024
Good, but not quite perfect. I liked the main character, though some of the side plots were just okay. Enjoyable weekend read.
David Campbell
David Campbell June 24, 2024
Such a great read. I loved how the story unfolded. It kept me guessing without being too confusing. A solid 5/5 for me.
Kevin Lewis
Kevin Lewis June 11, 2025
Glad someone recommended this to me. I got really invested in the main character's journey. Everything just clicked for me. Definitely recommend it if you like this genre.
Paul Robinson
Paul Robinson September 14, 2025
Good, but not quite perfect. I liked the main character, though some of the side plots were just okay. Still a good book.
Michelle Walker
Michelle Walker February 09, 2025
Really enjoyed this one. I loved how the story unfolded. It kept me guessing without being too confusing. A solid 5/5 for me.
Donald Allen
Donald Allen October 11, 2025
Glad someone recommended this to me. It has a good balance of dialogue and description. Everything felt like it moved at the right speed. A solid 5/5 for me.
Matthew Martin
Matthew Martin August 17, 2025
A solid read. It held my attention, even if a few things were a little predictable. Not bad at all.
Susan Baker
Susan Baker July 18, 2024
Glad someone recommended this to me. The pacing was spot on and the characters felt real. I didn't find myself getting bored at any point. Definitely recommend it if you like this genre.
Jacob Wright
Jacob Wright December 28, 2025
Honestly one of the better books I've read lately. It has a good balance of dialogue and description. Everything felt like it moved at the right speed. Definitely recommend it if you like this genre.
Sandra Thompson
Sandra Thompson August 03, 2025
I liked it for the most part. Writing is good, just wish there was a bit more depth in certain parts. Still kept my attention though. A solid 4 stars from me.
Margaret Hernandez
Margaret Hernandez July 13, 2025
Finished it in a couple of days. I got really invested in the main character's journey. Everything just clicked for me. A solid 5/5 for me.
Cynthia Green
Cynthia Green April 12, 2025
Pretty good overall. It held my attention, even if a few things were a little predictable. I'd probably recommend it to a friend.
George Perez
George Perez April 10, 2025
Good, but not quite perfect. Interesting premise and executed fairly well. Just a few slow chapters here and there. Still a good book.
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