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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications (SIAM Series on Financial Mathematics, Series Number 1) - Softcover
Synopsis
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...
Book Description
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. This will be helpful to graduates and young researchers interested in BSDEs, stochastic control, and applications.
About the Author
René Carmona is the Paul M. Wythes 55 Professor of Engineering and Finance at Princeton University, where he chairs the Department of Operations Research and Financial Engineering. He is an associate member of the Department of Mathematics, a member of the Program in Applied and Computational Mathematics, and a member of the Bendheim Center for Finance, where he oversaw the Master in Finance program for thirteen years....
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- PublisherSociety for Industrial and Applied Mathematics
- Publication date2016
- ISBN 10 1611974232
- ISBN 13 9781611974232
- BindingPaperback
- LanguageEnglish
- Number of pages366
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications (SIAM Series on Financial Mathematics, Series Number 1)
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Society for Industrial and Applied Mathematics, 2016
ISBN 10: 1611974232
ISBN 13: 9781611974232
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications (SIAM Series on Financial Mathematics, Series Number 1)
Published by
Society for Industrial and Applied Mathematics, 2016
ISBN 10: 1611974232
ISBN 13: 9781611974232
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications (SIAM Series on Financial Mathematics)
Published by
Society for Industrial and Applied Mathematics, 2016
ISBN 10: 1611974232
ISBN 13: 9781611974232
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Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games With Financial Applications
Published by
Society for Industrial and Applied Mathematics, 2016
ISBN 10: 1611974232
ISBN 13: 9781611974232
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Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games With Financial Applications
Published by
Society for Industrial and Applied Mathematics, 2016
ISBN 10: 1611974232
ISBN 13: 9781611974232
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Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games With Financial Applications
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Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games With Financial Applications
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ISBN 13: 9781611974232
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