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Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications

By: Carmona, Rene.
Material type: materialTypeLabelBookPublisher: Philadelphia Society for industrial and applied mathematics 2016Description: vi, 265 p.ISBN: 9781611974232.Subject(s): Stochastic control theory | Stochastic differential equations | Business mathematicsDDC classification: 519.27 Summary: The goal of this textbook is to introduce students to the stochastic analysis tools which 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. http://bookstore.siam.org/fm01/
List(s) this item appears in: Prof. A. K. Laha
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Slot 1406 (0 Floor, East Wing) Non-fiction 519.27 C2L3 (Browse shelf) Available 194414

The goal of this textbook is to introduce students to the stochastic analysis tools which 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.



http://bookstore.siam.org/fm01/


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