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 ...
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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.
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Add this copy of Lectures on Bsdes, Stochastic Control, and Stochastic to cart. $35.01, good condition, Sold by Greenworld Books rated 4.0 out of 5 stars, ships from Arlington, TX, UNITED STATES, published 2016 by Society for Industrial and Applied Mathematics.
Edition:
2016, Society for Industrial & Applied Mathematics,U.S.
Publisher:
Society for Industrial & Applied Mathematics,U.S.
Published:
2016
Language:
English
Alibris ID:
18528706221
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Good condition book with a firm cover and clean readable pages. Shows normal use including some light wear or limited notes highlighting yet remains a dependable copy overall. Supplemental items like CDs or access codes may not be included.
Add this copy of Lectures on Bsdes, Stochastic Control, and Stochastic to cart. $75.56, good condition, Sold by Bonita rated 4.0 out of 5 stars, ships from Santa Clarita, CA, UNITED STATES, published 2016 by Society for Industrial and App.
Edition:
2016, Society for Industrial & Applied Mathematics,U.S.
Add this copy of Lectures on BSDEs, Stochastic Control, and Stochastic to cart. $109.29, like new condition, Sold by GreatBookPrices rated 4.0 out of 5 stars, ships from Columbia, MD, UNITED STATES, published 2016 by Society for Industrial & Applied Mathematics,U.S..
Edition:
2016, Society for Industrial & Applied Mathematics,U.S.
Publisher:
Society for Industrial & Applied Mathematics,U.S.
Published:
2016
Language:
English
Alibris ID:
18360385351
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Fine. Financial Mathematics . Intended for professional and scholarly audience. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
Add this copy of Lectures on BSDEs, Stochastic Control, and Stochastic to cart. $121.66, new condition, Sold by GreatBookPrices rated 4.0 out of 5 stars, ships from Columbia, MD, UNITED STATES, published 2016 by Society for Industrial & Applied Mathematics,U.S..
Edition:
2016, Society for Industrial & Applied Mathematics,U.S.
Publisher:
Society for Industrial & Applied Mathematics,U.S.
Published:
2016
Language:
English
Alibris ID:
18360269749
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New. Financial Mathematics . Intended for professional and scholarly audience. In Stock. 100% Money Back Guarantee. Brand New, Perfect Condition, allow 4-14 business days for standard shipping. To Alaska, Hawaii, U.S. protectorate, P.O. box, and APO/FPO addresses allow 4-28 business days for Standard shipping. No expedited shipping. All orders placed with expedited shipping will be cancelled. Over 3, 000, 000 happy customers.
