Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems (Hardcover, 1st ed. 2017)

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.

General

Imprint:	Springer International Publishing AG
Country of origin:	Switzerland
Series:	Studies in Systems, Decision and Control, 67
Release date:	September 2016
First published:	2017
Authors:	Cheng-Ke Zhang • Huai-Nian Zhu • Hai-Ying Zhou • Ning Bin
Dimensions:	235 x 155 x 13mm (L x W x T)
Format:	Hardcover
Pages:	187
Edition:	1st ed. 2017
ISBN-13:	978-3-319-40586-5
Categories:	Books > Business & Economics > Business & management > Management & management techniques > Operational research Books > Professional & Technical > Electronics & communications engineering > Electronics engineering > General
LSN:	3-319-40586-1
Barcode:	9783319405865

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