Non-cooperative stochastic differential game theory of generalized markov jump linear systems
231,61 $

Non-cooperative stochastic differential game theory of generalized markov jump linear systems

CHENG-KE BIN, CHENG-KE ZHANG, H ZHOU


Non-cooperative stochastic differential game theory of generalized markov jump linear systems

CHENG-KE BIN, CHENG-KE ZHANG, H ZHOU

231,61 $ 231,61 $
Régulier: 231,61 $
Rabais: 0,00 $ (0%)
Livre numérique non disponible
Résumé

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.


Détails
Titre
Non-cooperative stochastic differential game theory of generalized markov jump linear systems
Prix
231,61 $
Sujet
Format Poche
Non
Langue
Français/French
Date de publication
2016-09-02
ISBN
9783319405872
Code Interne
2171155
Numéro de produit
2171155
Format numérique
pdf
Disponibilité
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Protection
Adobe DRM
Entrepôt Numérique
NUMILOG

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