Description: Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems, Paperback by Zhang, Cheng-ke; Zhu, Huai-nian; Zhou, Hai-ying; Bin, Ning, ISBN 3319821334, ISBN-13 9783319821337, Like New Used, Free shipping in the US 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. Th 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. Th 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 referenc for non-cooperative differential game study, for graduate students majored in economic management, science and engineering of institutions of higher learning.
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Book Title: Non-cooperative Stochastic Differential Game Theory of Generalize
Number of Pages: Xv, 187 Pages
Publication Name: Non-Cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems
Language: English
Publisher: Springer International Publishing A&G
Subject: Operations Research, General, Electrical, Electronics / General
Publication Year: 2018
Item Weight: 16 Oz
Type: Textbook
Item Length: 9.3 in
Author: Ning Bin, Cheng-Ke Zhang, Huai-Nian Zhu, Hai-Ying Zhou
Subject Area: Mathematics, Technology & Engineering, Business & Economics
Item Width: 6.1 in
Series: Studies in Systems, Decision and Control Ser.
Format: Trade Paperback
