Name: Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games with Financial Applications (en Inglés)
SKU: 49564162
Price: 2139.35 MXN
Availability: InStock
Author: Carmona, René
ISBN: 9781611974232

portada Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games with Financial Applications (en Inglés)

Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games with Financial Applications (en Inglés)

Formato

Libro Físico

Autor

René Carmona

Editorial

Society for Industrial and Applied Mathematic

Idioma

Inglés

N° páginas

366

Encuadernación

Tapa Blanda

ISBN13

9781611974232

Categorías

Probabilidad y estadística
Matemáticas aplicadas

Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games with Financial Applications (en Inglés)

René Carmona (Autor) · Society for Industrial and Applied Mathematic · Tapa Blanda

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Reseña del libro "Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games with Financial Applications (en Inglés)"

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.