Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Stochastic Differential Portfolio Games full books in PDF, epub, and Kindle. Read online Stochastic Differential Portfolio Games ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Sid Browne
Publisher :
ISBN 13 :
Total Pages : 42 pages
Book Rating : 4.:/5 ( download)
Download or read book Stochastic Differential Portfolio Games written by Sid Browne and published by . This book was released on 1997 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Marc-Christian Heitzer
Publisher :
ISBN 13 :
Total Pages : 150 pages
Book Rating : 4.:/5 (227 download)
Download or read book Stochastic Differential Portfolio Games written by Marc-Christian Heitzer and published by . This book was released on 2008 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : David W.K. Yeung
Publisher : Springer Science & Business Media
ISBN 13 : 038727622X
Total Pages : 253 pages
Book Rating : 4.3/5 (872 download)
Download or read book Cooperative Stochastic Differential Games written by David W.K. Yeung and published by Springer Science & Business Media. This book was released on 2006-05-11 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: Numerical Optimization presents a comprehensive and up-to-date description of the most effective methods in continuous optimization. It responds to the growing interest in optimization in engineering, science, and business by focusing on the methods that are best suited to practical problems. For this new edition the book has been thoroughly updated throughout. There are new chapters on nonlinear interior methods and derivative-free methods for optimization, both of which are used widely in practice and the focus of much current research. Because of the emphasis on practical methods, as well as the extensive illustrations and exercises, the book is accessible to a wide audience. It can be used as a graduate text in engineering, operations research, mathematics, computer science, and business. It also serves as a handbook for researchers and practitioners in the field. The authors have strived to produce a text that is pleasant to read, informative, and rigorous - one that reveals both the beautiful nature of the discipline and its practical side.
Author : Kandethody M. Ramachandran
Publisher : Springer Science & Business Media
ISBN 13 : 9491216473
Total Pages : 253 pages
Book Rating : 4.4/5 (912 download)
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.
Author : Martino Bardi
Publisher : Springer Science & Business Media
ISBN 13 : 1461215927
Total Pages : 388 pages
Book Rating : 4.4/5 (612 download)
Download or read book Stochastic and Differential Games written by Martino Bardi and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 388 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.
Author : Cheng-ke Zhang
Publisher : Springer
ISBN 13 : 331940587X
Total Pages : 196 pages
Book Rating : 4.3/5 (194 download)
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.
Author : Yumo Zhang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (137 download)
Download or read book Non-zero-sum Stochastic Differential Games for Asset-liability Management with Stochastic Inflation and Stochastic Volatility written by Yumo Zhang and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the optimal asset-liability management problems for two managers subject to relative performance concerns in the presence of stochastic inflation and stochastic volatility. The objective of the two managers is to maximize the expected utility of their relative terminal surplus with respect to that of their competitor. The problem of finding the optimal investment strategies for both managers is modelled as a non-zero-sum stochastic differential game. Both managers have access to a financial market consisting of a risk-free asset, a risky asset, and an inflation-linked index bond. The risky asset's price process and uncontrollable random liabilities are not only affected by the inflation risk but also driven by a general class of stochastic volatility models including the constant elasticity of variance model, the family of state-of-the-art 4/2 models, and some path-dependent models as particular cases. By adopting a backward stochastic differential equation (BSDE) approach to overcome the possibly non-Markovian setting, closed-form expressions for the equilibrium investment strategies and corresponding value functions are derived under power and exponential utility preferences. Moreover, explicit solutions to some special cases of our model are provided. Finally, we perform numerical studies to illustrate the impact of model parameters on the equilibrium strategies and draw some economic interpretations.
Author : Rene Carmona
Publisher : SIAM
ISBN 13 : 1611974232
Total Pages : 263 pages
Book Rating : 4.6/5 (119 download)
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.
Author : Barend Mons
Publisher :
ISBN 13 :
Total Pages : 163 pages
Book Rating : 4.:/5 (227 download)
Download or read book Stochastic Differential Game Techniques written by Barend Mons and published by . This book was released on 1982 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: This development of readily computable strategies for differential games with noise corrupted measurements was hampered by the so called closure problem of stochastic differential games. The solutions required either an infinite dimensional dynamic system or the determination at each time t of the error in the opponent's state estimate. In this dissertation, solutions to different games with noise corrupted measurements were obtained that are readily computable. As a consequence of the stochastic aspects of such games, the discussion was restricted to linear-quadratic differential games which are analyzed using function space techniques. The solution to a linear-quadratic game with perfect information is obtained without the a prior assumption of a saddle-point solution and it is shown that the individual minimax and miximin solutions to such a game result in a set of strategies that satisfy the saddle-point condition, but with necessary and sufficient conditions that are more stringent than previously obtained. The concept of delayed commitment games is then extended to differential games where both players have noise corrupted state measurements and solutions are obtained that are readily computable, thus playing to rest the closure problem of stochastic differential games.
Author : Bernt Øksendal
Publisher : Springer Science & Business Media
ISBN 13 : 3540698264
Total Pages : 263 pages
Book Rating : 4.5/5 (46 download)
Download or read book Applied Stochastic Control of Jump Diffusions written by Bernt Øksendal and published by Springer Science & Business Media. This book was released on 2007-04-26 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Here is a rigorous introduction to the most important and useful solution methods of various types of stochastic control problems for jump diffusions and its applications. Discussion includes the dynamic programming method and the maximum principle method, and their relationship. The text emphasises real-world applications, primarily in finance. Results are illustrated by examples, with end-of-chapter exercises including complete solutions. The 2nd edition adds a chapter on optimal control of stochastic partial differential equations driven by Lévy processes, and a new section on optimal stopping with delayed information. Basic knowledge of stochastic analysis, measure theory and partial differential equations is assumed.
Author : Andrzej S. Nowak
Publisher : Springer Science & Business Media
ISBN 13 : 0817644296
Total Pages : 674 pages
Book Rating : 4.8/5 (176 download)
Download or read book Advances in Dynamic Games written by Andrzej S. Nowak and published by Springer Science & Business Media. This book was released on 2007-12-24 with total page 674 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 guide to the vitality and growth of the field. A valuable reference for researchers and practitioners in dynamic game theory, it covers a broad range of topics and applications, including repeated and stochastic games, differential dynamic games, optimal stopping games, and numerical methods and algorithms for solving dynamic games. The diverse topics included will also benefit researchers and graduate students in applied mathematics, economics, engineering, systems and control, and environmental science.
Author : Christopher Harris
Publisher :
ISBN 13 :
Total Pages : 75 pages
Book Rating : 4.:/5 (33 download)
Download or read book Generalized Solutions of Stochastic Differential Games in One Dimension written by Christopher Harris and published by . This book was released on 1993 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tamer Basar
Publisher :
ISBN 13 : 9783319273358
Total Pages : pages
Book Rating : 4.2/5 (733 download)
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."
Author : D. Kannan
Publisher : CRC Press
ISBN 13 : 9780824706609
Total Pages : 800 pages
Book Rating : 4.7/5 (66 download)
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.
Author : Donald Macdonald Stuart
Publisher :
ISBN 13 :
Total Pages : 234 pages
Book Rating : 4.:/5 (32 download)
Download or read book Stochastic Differential Games with Complexity-constrained Strategies written by Donald Macdonald Stuart and published by . This book was released on 1970 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : René Carmona
Publisher : Springer
ISBN 13 : 3319589202
Total Pages : 728 pages
Book Rating : 4.3/5 (195 download)
Download or read book Probabilistic Theory of Mean Field Games with Applications I written by René Carmona and published by Springer. This book was released on 2018-03-01 with total page 728 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self-contained in nature and includes original material and applications with explicit examples throughout, including numerical solutions. Volume I of the book is entirely devoted to the theory of mean field games without a common noise. The first half of the volume provides a self-contained introduction to mean field games, starting from concrete illustrations of games with a finite number of players, and ending with ready-for-use solvability results. Readers are provided with the tools necessary for the solution of forward-backward stochastic differential equations of the McKean-Vlasov type at the core of the probabilistic approach. The second half of this volume focuses on the main principles of analysis on the Wasserstein space. It includes Lions' approach to the Wasserstein differential calculus, and the applications of its results to the analysis of stochastic mean field control problems. Together, both Volume I and Volume II will greatly benefit mathematical graduate students and researchers interested in mean field games. The authors provide a detailed road map through the book allowing different access points for different readers and building up the level of technical detail. The accessible approach and overview will allow interested researchers in the applied sciences to obtain a clear overview of the state of the art in mean field games.
Author : David H. Mguni
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (123 download)
Download or read book Strategically-timed Actions in Stochastic Differential Games written by David H. Mguni and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
