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Item Details
| Title:
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LECTURES ON BSDES, STOCHASTIC CONTROL, AND STOCHASTIC DIFFERENTIAL GAMES WITH FINANCIAL APPLICATIONS
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| By: |
Rene Carmona |
| Format: |
Paperback |
| List price:
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£61.99 |
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We believe that this item is permanently unavailable, and so we cannot source
it.
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| ISBN 10: |
1611974232 |
| ISBN 13: |
9781611974232 |
| Publisher: |
SOCIETY FOR INDUSTRIAL & APPLIED MATHEMATICS,U.S. |
| Pub. date: |
27 October, 2016 |
| Series: |
Financial Mathematics 1 |
| Pages: |
274 |
| Description: |
The goal of this textbook is to introduce students to the stochastic analysis tools that play an increasing role in the probabilistic approach to optimization problems, including stochastic control and stochastic differential games. |
| Synopsis: |
The goal of this textbook is to introduce students to the stochastic analysis tools that play an increasing role in the probabilistic approach to optimization problems, including stochastic control and stochastic differential games. While optimal control is taught in many graduate programs in applied mathematics and operations research, the author was intrigued by the lack of coverage of the theory of stochastic differential games. This is the first title in SIAM's Financial Mathematics book series and is based on the author's lecture notes. It will be helpful to students who are interested in stochastic differential equations (forward, backward, forward-backward); the probabilistic approach to stochastic control (dynamic programming and the stochastic maximum principle); and mean field games and control of McKean-Vlasov dynamics. The theory is illustrated by applications to models of systemic risk, macroeconomic growth, flocking/schooling, crowd behavior, and predatory trading, among others. |
| Publication: |
US |
| Imprint: |
Society for Industrial & Applied Mathematics,U.S. |
| Returns: |
Returnable |
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