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Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems (Hardcover, 1st ed. 2017)
Loot Price: R5,305
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Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems (Hardcover, 1st ed. 2017)
Series: Studies in Systems, Decision and Control, 67
Expected to ship within 10 - 15 working days
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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.
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