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Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games with Financial Applications (Siam Financial Mathematics, Band 1) - Softcover
Inhaltsangabe
An introduction to the stochastic analysis tools involved in the probabilistic approach to optimization problems, appropriate for graduates and young researchers.
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Über die Autorin bzw. den Autor
René Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University, New Jersey, where he chairs the Department of Operations Research and Financial Engineering. He is an associate member of the Department of Mathematics, a member of the Program in Applied and Computational Mathematics, and a member of the Bendheim Center for Finance, where he oversaw the Master in Finance program for thirteen years. Dr Carmona's publications include over 100 articles and seven books in probability, statistics, and financial mathematics. He was elected Fellow of the Institute of Mathematical Statistics in 1984 and of SIAM in 2009. He is the founding chair of the SIAM Activity Group on Financial Mathematics and Engineering and a founding co-editor of the Electronic Journal of Probability, Electronic Communications in Probability, and the SIAM Journal on Financial Mathematics.
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SIAM Series on Financial Mathematics: Series Number 1: Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
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Society for Industrial and Applied Mathematics, 2016
ISBN 10: 1611974232
ISBN 13: 9781611974232
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SIAM Series on Financial Mathematics: Series Number 1: Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
Verlag:
Society for Industrial and Applied Mathematics, 2016
ISBN 10: 1611974232
ISBN 13: 9781611974232
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications (SIAM Series on Financial Mathematics)
Verlag:
Society for Industrial and Applied Mathematics, 2016
ISBN 10: 1611974232
ISBN 13: 9781611974232
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
Verlag:
Society for Industrial and Applied Mathematics,U.S., US, 2016
ISBN 10: 1611974232
ISBN 13: 9781611974232
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Paperback. Zustand: New. 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. Bestandsnummer des Verkäufers LU-9781611974232
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
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Society for Industrial & Applied Mathematics,U.S., 2016
ISBN 10: 1611974232
ISBN 13: 9781611974232
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications (SIAM Series on Financial Mathematics, Series Number 1)
Verlag:
Society for Industrial and Applied Mathematics, 2016
ISBN 10: 1611974232
ISBN 13: 9781611974232
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Zustand: good. This is a pre-loved book that shows moderate signs of wear from previous reading. You may notice creases, edge wear, or a cracked spine, but it remains in solid, readable condition. Please note: -May include library or rental stickers, stamps, or markings. -Supplemental materials e.g., CDs, access codes, inserts are not guaranteed. -Box sets may not come with the original outer box. If it does, the box will not be in perfect condition. Your satisfaction is our top priority! If you have any questions or concerns about your order, please don't hesitate to reach out. Thank you for shopping with us and supporting small businessâ"happy reading! Bestandsnummer des Verkäufers STM.GAA
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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
Verlag:
Society for Industrial and Applied Mathematics,U.S., US, 2016
ISBN 10: 1611974232
ISBN 13: 9781611974232
Neu
Paperback
Anbieter: Rarewaves.com UK, London, Vereinigtes Königreich
Verkäuferbewertung 5 von 5 Sternen
Paperback. Zustand: New. 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. Bestandsnummer des Verkäufers LU-9781611974232
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