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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications - Couverture souple
Synopsis
A vital introduction to the stochastic analysis tools which play an increasing role in the probabilistic approach to optimization problems, including stochastic control and stochastic differential games. As one of the few books on game theory and the theory of stochastic differential games, this book will be helpful to graduate students and young researchers interested in stochastic differential equations and the probabilistic approach to stochastic control, as well as mean field games and the control of McKean–Vlasov dynamics. The theory is illustrated by application to several areas, including application to models of systemic risk, macroeconomic growth, flocking/schooling, crowd behavior, and predatory trading. Based on the author's lecture notes, this is the first title in the SIAM Series on Financial Mathematics.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
À propos de l?auteur
René Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University, New Jersey, where he chairs the Department of Operations Research and Financial Engineering. He is an associate member of the Department of Mathematics, a member of the Program in Applied and Computational Mathematics, and a member of the Bendheim Center for Finance, where he oversaw the Master in Finance program for thirteen years. Dr Carmona's publications include over 100 articles and seven books in probability, statistics, and financial mathematics. He was elected Fellow of the Institute of Mathematical Statistics in 1984 and of SIAM in 2009. He is the founding chair of the SIAM Activity Group on Financial Mathematics and Engineering and a founding co-editor of the Electronic Journal of Probability, Electronic Communications in Probability, and the SIAM Journal on Financial Mathematics.
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications (SIAM Series on Financial Mathematics, Series Number 1)
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Society for Industrial and Applied Mathematics, 2016
ISBN 10 : 1611974232
ISBN 13 : 9781611974232
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SIAM Series on Financial Mathematics: Series Number 1: Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
Edité par
Society for Industrial & Applied Mathematics,U.S., 2016
ISBN 10 : 1611974232
ISBN 13 : 9781611974232
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications (SIAM Series on Financial Mathematics)
Edité par
Society for Industrial and Applied Mathematics, 2016
ISBN 10 : 1611974232
ISBN 13 : 9781611974232
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
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ISBN 10 : 1611974232
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
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ISBN 10 : 1611974232
ISBN 13 : 9781611974232
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Etat : New. KlappentextrnrnThe 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 game. N° de réf. du vendeur 132676157
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications (SIAM Series on Financial Mathematics, Series Number 1)
Edité par
Society for Industrial and Applied Mathematics, 2016
ISBN 10 : 1611974232
ISBN 13 : 9781611974232
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
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Society for Industrial and Applied Mathematics,U.S., US, 2016
ISBN 10 : 1611974232
ISBN 13 : 9781611974232
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Paperback. Etat : New. 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. N° de réf. du vendeur LU-9781611974232
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SIAM Series on Financial Mathematics: Series Number 1: Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
Edité par
Society for Industrial & Applied Mathematics,U.S., 2016
ISBN 10 : 1611974232
ISBN 13 : 9781611974232
Neuf
Couverture souple
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Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games With Financial Applications
Edité par
Society for Industrial and Applied Mathematics, 2016
ISBN 10 : 1611974232
ISBN 13 : 9781611974232
Neuf
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Application (SIAM Series on Financial Mathematics)
Edité par
Society for Industrial and Applied Mathematics, 2016
ISBN 10 : 1611974232
ISBN 13 : 9781611974232
Neuf
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