Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games with Financial Applications
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Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games with Financial Applications

Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games with Financial Applications


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About the Book

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.


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Product Details
  • ISBN-13: 9781611974232
  • Publisher: Society for Industrial and Applied Mathematics (SIAM)
  • Publisher Imprint: Society for Industrial and Applied Mathematics (SIAM)
  • Depth: 29
  • Language: English
  • Returnable: Y
  • Spine Width: 17 mm
  • Width: 174 mm
  • ISBN-10: 1611974232
  • Publisher Date: 31 Oct 2016
  • Binding: Paperback
  • Height: 247 mm
  • No of Pages: 366
  • Series Title: Siam Financial Mathematics
  • Weight: 750 gr


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Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games with Financial Applications
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Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games with Financial Applications
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