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

“This 668-page magnum opus of stochastic ODEs and PDEs belongs on the shelf of every researcher in these areas, as well as any mathematician or scientist who wants to learn more about the subject. ... my opinion is that this book accomplished a Herculean task of making an arguably technical subject that is daunting to a beginner accessible. This book wants to be read!” (Mark A. McKibben, Mathematical Reviews, April, 2016)

“The present monograph gives a rather complete treatment of backward stochastic differential equations as tool for the stochastic interpretation of second order PDEs. As the reader is guided from basic knowledge on stochastic analysis through the Itō calculus and the theory of stochastic differential equations to that of the backward equations, the monograph represents in my eyes a precious textbook for Master students, PhD students, but also specialists in this domain.” (Rainer Buckdahn, zbMATH 1321.60005, 2015)