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 ...
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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.
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Add this copy of Lectures on Bsdes, Stochastic Control, and Stochastic to cart. $60.64, good condition, Sold by Dotcom liquidators / dc1 rated 4.0 out of 5 stars, ships from Fort Worth, TX, UNITED STATES, published 2016 by Society for Industrial & Applied Mathematics,U.S..
Edition:
2016, Society for Industrial & Applied Mathematics,U.S.
Add this copy of Lectures on Bsdes, Stochastic Control, and Stochastic to cart. $119.83, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Newport Coast, CA, UNITED STATES, published 2016 by Society for Industrial and App.
Edition:
2016, Society for Industrial & Applied Mathematics,U.S.
