Backward Stochastic Differential Equations

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Author :
Publisher : CRC Press
ISBN 13 : 9780582307339
Total Pages : 236 pages
Book Rating : 4.3/5 (73 download)

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Book Synopsis Backward Stochastic Differential Equations by : N El Karoui

Download or read book Backward Stochastic Differential Equations written by N El Karoui and published by CRC Press. This book was released on 1997-01-17 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the texts of seminars presented during the years 1995 and 1996 at the Université Paris VI and is the first attempt to present a survey on this subject. Starting from the classical conditions for existence and unicity of a solution in the most simple case-which requires more than basic stochartic calculus-several refinements on the hypotheses are introduced to obtain more general results.

Stochastic Differential Games. Theory and Applications

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Author :
Publisher : Springer Science & Business Media
ISBN 13 : 9491216473
Total Pages : 253 pages
Book Rating : 4.4/5 (912 download)

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Book Synopsis Stochastic Differential Games. Theory and Applications by : Kandethody M. Ramachandran

Download or read book Stochastic Differential Games. Theory and Applications written by Kandethody M. Ramachandran and published by Springer Science & Business Media. This book was released on 2012-01-05 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: The subject theory is important in finance, economics, investment strategies, health sciences, environment, industrial engineering, etc.

Incentives, Organization, and Public Economics

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Author :
Publisher : OUP Oxford
ISBN 13 : 0191590134
Total Pages : 370 pages
Book Rating : 4.1/5 (915 download)

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Book Synopsis Incentives, Organization, and Public Economics by : Peter Hammond

Download or read book Incentives, Organization, and Public Economics written by Peter Hammond and published by OUP Oxford. This book was released on 2000-12-21 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection celebrates the career of Sir James Mirrlees, who received the 1996 Nobel Prize in Economics for his work on income taxation and its extension to information and incentive problems. His contributions have proved fundamental to the development of a wide range of areas in economics. The 17 papers contained in this volume focus on themes that are representative of Mirrlees' work, including the economics of information, welfare, taxation, project appraisal, and industrial organization. All the contributors have spent time working closely with Mirrlees - either as his co-author or his student - and all are recognized authorities in their fields. The significant new contributions that this collection offers will have wide-ranging appeal, and should prove particularly interesting to scholars working in the areas of microeconomics, microeconomic theory, mathematical economics, and welfare economics.

Handbook of Stochastic Analysis and Applications

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Author :
Publisher : CRC Press
ISBN 13 : 9780824706609
Total Pages : 800 pages
Book Rating : 4.7/5 (66 download)

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Book Synopsis Handbook of Stochastic Analysis and Applications by : D. Kannan

Download or read book Handbook of Stochastic Analysis and Applications written by D. Kannan and published by CRC Press. This book was released on 2001-10-23 with total page 800 pages. Available in PDF, EPUB and Kindle. Book excerpt: An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.

Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications

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Author :
Publisher : SIAM
ISBN 13 : 1611974232
Total Pages : 263 pages
Book Rating : 4.6/5 (119 download)

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Book Synopsis Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications by : Rene Carmona

Download or read book Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications written by Rene Carmona and published by SIAM. This book was released on 2016-02-18 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Scientific and Technical Aerospace Reports

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Author :
Publisher :
ISBN 13 :
Total Pages : 702 pages
Book Rating : 4.:/5 (31 download)

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Book Synopsis Scientific and Technical Aerospace Reports by :

Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1995 with total page 702 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems

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Author :
Publisher : Springer
ISBN 13 : 331940587X
Total Pages : 196 pages
Book Rating : 4.3/5 (194 download)

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Book Synopsis Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems by : Cheng-ke Zhang

Download or read book Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems written by Cheng-ke Zhang and published by Springer. This book was released on 2016-09-02 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Handbook of Dynamic Game Theory

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Author :
Publisher :
ISBN 13 : 9783319273358
Total Pages : pages
Book Rating : 4.2/5 (733 download)

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Book Synopsis Handbook of Dynamic Game Theory by : Tamer Basar

Download or read book Handbook of Dynamic Game Theory written by Tamer Basar and published by . This book was released on 19?? with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Résumé : "This will be a two-part handbook on Dynamic Game Theory and part of the Springer Reference program. Part I will be on the fundamentals and theory of dynamic games. It will serve as a quick reference and a source of detailed exposure to topics in dynamic games for a broad community of researchers, educators, practitioners, and students. Each topic will be covered in 2-3 chapters with one introducing basic theory and the other one or two covering recent advances and/or special topics. Part II will be on applications in fields such as economics, management science, engineering, biology, and the social sciences."

Advances in Dynamic Games

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Publisher : Springer Science & Business Media
ISBN 13 : 0817683550
Total Pages : 421 pages
Book Rating : 4.8/5 (176 download)

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Book Synopsis Advances in Dynamic Games by : Pierre Cardaliaguet

Download or read book Advances in Dynamic Games written by Pierre Cardaliaguet and published by Springer Science & Business Media. This book was released on 2012-09-13 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on various aspects of dynamic game theory, presenting state-of-the-art research and serving as a testament to the vitality and growth of the field of dynamic games and their applications. Its contributions, written by experts in their respective disciplines, are outgrowths of presentations originally given at the 14th International Symposium of Dynamic Games and Applications held in Banff. Advances in Dynamic Games covers a variety of topics, ranging from evolutionary games, theoretical developments in game theory and algorithmic methods to applications, examples, and analysis in fields as varied as mathematical biology, environmental management, finance and economics, engineering, guidance and control, and social interaction. Featured throughout are valuable tools and resources for researchers, practitioners, and graduate students interested in dynamic games and their applications to mathematics, engineering, economics, and management science.​

SIAM Journal on Control and Optimization

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Author :
Publisher :
ISBN 13 :
Total Pages : 800 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis SIAM Journal on Control and Optimization by : Society for Industrial and Applied Mathematics

Download or read book SIAM Journal on Control and Optimization written by Society for Industrial and Applied Mathematics and published by . This book was released on 2005 with total page 800 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Differential Systems, Stochastic Control Theory and Applications

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Author :
Publisher : Springer Science & Business Media
ISBN 13 : 1461387620
Total Pages : 601 pages
Book Rating : 4.4/5 (613 download)

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Book Synopsis Stochastic Differential Systems, Stochastic Control Theory and Applications by : Wendell Fleming

Download or read book Stochastic Differential Systems, Stochastic Control Theory and Applications written by Wendell Fleming and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 601 pages. Available in PDF, EPUB and Kindle. Book excerpt: This IMA Volume in Mathematics and its Applications STOCHASTIC DIFFERENTIAL SYSTEMS, STOCHASTIC CONTROL THEORY AND APPLICATIONS is the proceedings of a workshop which was an integral part of the 1986-87 IMA program on STOCHASTIC DIFFERENTIAL EQUATIONS AND THEIR APPLICATIONS. We are grateful to the Scientific Committee: Daniel Stroock (Chairman) WendeIl Flerning Theodore Harris Pierre-Louis Lions Steven Orey George Papanicolaou for planning and implementing an exciting and stimulating year-long program. We es pecially thank WendeIl Fleming and Pierre-Louis Lions for organizing an interesting and productive workshop in an area in which mathematics is beginning to make significant contributions to real-world problems. George R. Seil Hans Weinberger PREFACE This volume is the Proceedings of a Workshop on Stochastic Differential Systems, Stochastic Control Theory, and Applications held at IMA June 9-19,1986. The Workshop Program Commit tee consisted of W.H. Fleming and P.-L. Lions (co-chairmen), J. Baras, B. Hajek, J.M. Harrison, and H. Sussmann. The Workshop emphasized topics in the following four areas. (1) Mathematical theory of stochastic differential systems, stochastic control and nonlinear filtering for Markov diffusion processes. Connections with partial differential equations. (2) Applications of stochastic differential system theory, in engineering and management sci ence. Adaptive control of Markov processes. Advanced computational methods in stochas tic control and nonlinear filtering. (3) Stochastic scheduling, queueing networks, and related topics. Flow control, multiarm bandit problems, applications to problems of computer networks and scheduling of complex manufacturing operations.

Pursuit-Evasion Differential Games

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Author :
Publisher : Pergamon
ISBN 13 :
Total Pages : 360 pages
Book Rating : 4.F/5 ( download)

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Book Synopsis Pursuit-Evasion Differential Games by : Y. Yavin

Download or read book Pursuit-Evasion Differential Games written by Y. Yavin and published by Pergamon. This book was released on 1987-09-30 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Twenty papers are devoted to the treatment of a wide spectrum of problems in the theory and applications of dynamic games with the emphasis on pursuit-evasion differential games. The problem of capturability is thoroughly investigated, also the problem of noise-corrupted (state) measurements. Attention is given to aerial combat problems and their attendant modelling issues, such as variable speed of the combatants, the three-dimensionality of physical space, and the combat problem, i.e. problems related to 'role determination'.

Stochastic Analysis, Control, Optimization and Applications

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Author :
Publisher : Springer Science & Business Media
ISBN 13 : 1461217849
Total Pages : 660 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Stochastic Analysis, Control, Optimization and Applications by : William M. McEneaney

Download or read book Stochastic Analysis, Control, Optimization and Applications written by William M. McEneaney and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt: In view of Professor Wendell Fleming's many fundamental contributions, his profound influence on the mathematical and systems theory communi ties, his service to the profession, and his dedication to mathematics, we have invited a number of leading experts in the fields of control, optimiza tion, and stochastic systems to contribute to this volume in his honor on the occasion of his 70th birthday. These papers focus on various aspects of stochastic analysis, control theory and optimization, and applications. They include authoritative expositions and surveys as well as research papers on recent and important issues. The papers are grouped according to the following four major themes: (1) large deviations, risk sensitive and Hoc control, (2) partial differential equations and viscosity solutions, (3) stochastic control, filtering and parameter esti mation, and (4) mathematical finance and other applications. We express our deep gratitude to all of the authors for their invaluable contributions, and to the referees for their careful and timely reviews. We thank Harold Kushner for having graciously agreed to undertake the task of writing the foreword. Particular thanks go to H. Thomas Banks for his help, advice and suggestions during the entire preparation process, as well as for the generous support of the Center for Research in Scientific Computation. The assistance from the Birkhauser professional staff is also greatly appreciated.

Encyclopaedia of Mathematics

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Publisher : Springer Science & Business Media
ISBN 13 : 9400903650
Total Pages : 743 pages
Book Rating : 4.4/5 (9 download)

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Book Synopsis Encyclopaedia of Mathematics by : Michiel Hazewinkel

Download or read book Encyclopaedia of Mathematics written by Michiel Hazewinkel and published by Springer Science & Business Media. This book was released on 2013-12-01 with total page 743 pages. Available in PDF, EPUB and Kindle. Book excerpt: This ENCYCLOPAEDIA OF MATHEMATICS aims to be a reference work for all parts of mathe matics. It is a translation with updates and editorial comments of the Soviet Mathematical Encyclopaedia published by 'Soviet Encyclopaedia Publishing House' in five volumes in 1977-1985. The annotated translation consists of ten volumes including a special index volume. There are three kinds of articles in this ENCYCLOPAEDIA. First of all there are survey-type articles dealing with the various main directions in mathematics (where a rather fine subdivi sion has been used). The main requirement for these articles has been that they should give a reasonably complete up-to-date account of the current state of affairs in these areas and that they should be maximally accessible. On the whole, these articles should be understandable to mathematics students in their first specialization years, to graduates from other mathematical areas and, depending on the specific subject, to specialists in other domains of science, en gineers and teachers of mathematics. These articles treat their material at a fairly general level and aim to give an idea of the kind of problems, techniques and concepts involved in the area in question. They also contain background and motivation rather than precise statements of precise theorems with detailed definitions and technical details on how to carry out proofs and constructions. The second kind of article, of medium length, contains more detailed concrete problems, results and techniques.

Stochastic and Differential Games

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Publisher : Springer Science & Business Media
ISBN 13 : 9780817640293
Total Pages : 404 pages
Book Rating : 4.6/5 (42 download)

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Book Synopsis Stochastic and Differential Games by : Martino Bardi

Download or read book Stochastic and Differential Games written by Martino Bardi and published by Springer Science & Business Media. This book was released on 1999-06 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory of two-person, zero-sum differential games started at the be­ ginning of the 1960s with the works of R. Isaacs in the United States and L. S. Pontryagin and his school in the former Soviet Union. Isaacs based his work on the Dynamic Programming method. He analyzed many special cases of the partial differential equation now called Hamilton­ Jacobi-Isaacs-briefiy HJI-trying to solve them explicitly and synthe­ sizing optimal feedbacks from the solution. He began a study of singular surfaces that was continued mainly by J. Breakwell and P. Bernhard and led to the explicit solution of some low-dimensional but highly nontriv­ ial games; a recent survey of this theory can be found in the book by J. Lewin entitled Differential Games (Springer, 1994). Since the early stages of the theory, several authors worked on making the notion of value of a differential game precise and providing a rigorous derivation of the HJI equation, which does not have a classical solution in most cases; we mention here the works of W. Fleming, A. Friedman (see his book, Differential Games, Wiley, 1971), P. P. Varaiya, E. Roxin, R. J. Elliott and N. J. Kalton, N. N. Krasovskii, and A. I. Subbotin (see their book Po­ sitional Differential Games, Nauka, 1974, and Springer, 1988), and L. D. Berkovitz. A major breakthrough was the introduction in the 1980s of two new notions of generalized solution for Hamilton-Jacobi equations, namely, viscosity solutions, by M. G. Crandall and P. -L.

LQ Dynamic Optimization and Differential Games

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Publisher : John Wiley & Sons
ISBN 13 : 9780470015247
Total Pages : 514 pages
Book Rating : 4.0/5 (152 download)

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Book Synopsis LQ Dynamic Optimization and Differential Games by : Jacob Engwerda

Download or read book LQ Dynamic Optimization and Differential Games written by Jacob Engwerda and published by John Wiley & Sons. This book was released on 2005-06-17 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt: Game theory is the theory of social situations, and the majority of research into the topic focuses on how groups of people interact by developing formulas and algorithms to identify optimal strategies and to predict the outcome of interactions. Only fifty years old, it has already revolutionized economics and finance, and is spreading rapidly to a wide variety of fields. LQ Dynamic Optimization and Differential Games is an assessment of the state of the art in its field and the first modern book on linear-quadratic game theory, one of the most commonly used tools for modelling and analysing strategic decision making problems in economics and management. Linear quadratic dynamic models have a long tradition in economics, operations research and control engineering; and the author begins by describing the one-decision maker LQ dynamic optimization problem before introducing LQ differential games. Covers cooperative and non-cooperative scenarios, and treats the standard information structures (open-loop and feedback). Includes real-life economic examples to illustrate theoretical concepts and results. Presents problem formulations and sound mathematical problem analysis. Includes exercises and solutions, enabling use for self-study or as a course text. Supported by a website featuring solutions to exercises, further examples and computer code for numerical examples. LQ Dynamic Optimization and Differential Games offers a comprehensive introduction to the theory and practice of this extensively used class of economic models, and will appeal to applied mathematicians and econometricians as well as researchers and senior undergraduate/graduate students in economics, mathematics, engineering and management science.

Stochastic Optimal Control in Infinite Dimension

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Publisher : Springer
ISBN 13 : 3319530674
Total Pages : 928 pages
Book Rating : 4.3/5 (195 download)

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Book Synopsis Stochastic Optimal Control in Infinite Dimension by : Giorgio Fabbri

Download or read book Stochastic Optimal Control in Infinite Dimension written by Giorgio Fabbri and published by Springer. This book was released on 2017-06-22 with total page 928 pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite dimension. Readers from other fields who want to learn the basic theory will also find it useful. The prerequisites are: standard functional analysis, the theory of semigroups of operators and its use in the study of PDEs, some knowledge of the dynamic programming approach to stochastic optimal control problems in finite dimension, and the basics of stochastic analysis and stochastic equations in infinite-dimensional spaces.