logo
Supporting your high street Find out how »
Basket Image

Basket

Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications, Paperback Book

Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications Paperback

Part of the Financial Mathematics series

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.

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.

Information

  • Format: Paperback
  • Pages: 274 pages
  • Publisher: Society for Industrial & Applied Mathematics,U.S.
  • Publication Date:
  • Category: Probability & statistics
  • ISBN: 9781611974232

£61.99

£61.55

 
Free Home Delivery

on all orders

 
Pick up orders

from local bookshops