Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems

Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems
Author :
Publisher : Springer
Total Pages : 196
Release :
ISBN-10 : 9783319405872
ISBN-13 : 331940587X
Rating : 4/5 (87X Downloads)

Book Synopsis Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems by : Cheng-ke Zhang

Download or read book Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems written by Cheng-ke Zhang and published by Springer. This book was released on 2016-09-02 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book systematically studies the stochastic non-cooperative differential game theory of generalized linear Markov jump systems and its application in the field of finance and insurance. The book is an in-depth research book of the continuous time and discrete time linear quadratic stochastic differential game, in order to establish a relatively complete framework of dynamic non-cooperative differential game theory. It uses the method of dynamic programming principle and Riccati equation, and derives it into all kinds of existence conditions and calculating method of the equilibrium strategies of dynamic non-cooperative differential game. Based on the game theory method, this book studies the corresponding robust control problem, especially the existence condition and design method of the optimal robust control strategy. The book discusses the theoretical results and its applications in the risk control, option pricing, and the optimal investment problem in the field of finance and insurance, enriching the achievements of differential game research. This book can be used as a reference book for non-cooperative differential game study, for graduate students majored in economic management, science and engineering of institutions of higher learning.


Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems Related Books

Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems
Language: en
Pages: 196
Authors: Cheng-ke Zhang
Categories: Technology & Engineering
Type: BOOK - Published: 2016-09-02 - Publisher: Springer

GET EBOOK

This book systematically studies the stochastic non-cooperative differential game theory of generalized linear Markov jump systems and its application in the fi
Advances in Materials Sciences, Energy Technology and Environmental Engineering
Language: en
Pages: 473
Authors: Aragona Patty
Categories: Science
Type: BOOK - Published: 2017-01-20 - Publisher: CRC Press

GET EBOOK

The 2016 International Conference on Materials Science, Energy Technology and Environmental Engineering (MSETEE 2016) took place May 28-29, 2016 in Zhuhai City,
时滞随机系统的微分博弈理论及应用
Language: zh-CN
Pages: 139
Authors: 朱怀念
Categories: Mathematics
Type: BOOK - Published: 2019-01-01 - Publisher: 社会科学文献出版社

GET EBOOK

該書以工程和經濟金融領域中廣泛使用的時滯隨機系統為研究對象,利用動態優化理論中的隨機最大值原理和動態規劃等�
ICM Millennium Lectures on Games
Language: en
Pages: 410
Authors: Leon A. Petrosjan
Categories: Mathematics
Type: BOOK - Published: 2013-04-17 - Publisher: Springer Science & Business Media

GET EBOOK

Since the first Congress in Zürich in 1897, the ICM has been an eagerly awaited event every four years. Many of these occasions are celebrated for historie dev
Handbook of Dynamic Game Theory
Language: en
Pages:
Authors: Tamer Basar
Categories: Differential games
Type: BOOK - Published: 19?? - Publisher:

GET EBOOK

Résumé : "This will be a two-part handbook on Dynamic Game Theory and part of the Springer Reference program. Part I will be on the fundamentals and theory of