Language:
English
繁體中文
Help
Login
Back
Switch To:
Labeled
|
MARC Mode
|
ISBD
Non-cooperative stochastic different...
~
Zhang, Cheng-ke.
Non-cooperative stochastic differential game theory of generalized Markov jump linear systems
Record Type:
Language materials, printed : Monograph/item
Title/Author:
Non-cooperative stochastic differential game theory of generalized Markov jump linear systems/ by Cheng-ke Zhang ... [et al.].
other author:
Zhang, Cheng-ke.
Published:
Cham :Springer International Publishing : : 2017.,
Description:
xv, 187 p. :ill., digital ; : 24 cm.;
Contained By:
Springer eBooks
Subject:
Noncooperative games (Mathematics) -
Online resource:
http://dx.doi.org/10.1007/978-3-319-40587-2
ISBN:
9783319405872
Non-cooperative stochastic differential game theory of generalized Markov jump linear systems
Non-cooperative stochastic differential game theory of generalized Markov jump linear systems
[electronic resource] /by Cheng-ke Zhang ... [et al.]. - Cham :Springer International Publishing :2017. - xv, 187 p. :ill., digital ;24 cm. - Studies in systems, decision and control,v.672198-4182 ;. - Studies in systems, decision and control ;v. 2. .
Introduction -- Deterministic and Stochastic Differential Games -- Stochastic Differential Games of Continuous-time Markov Jump Linear Systems -- Stochastic Differential Game of Discrete-time Markov Jump Linear System -- Stochastic Differential Game of Stochastic Markov Jump Singular Systems -- Game Theory Approach to Stochastic H2/H∞ Control of Markov Jump Linear Singular Systems -- Applications of Stochastic Differential Game Theory for Linear Markov Jump Systems to Finance and Insurance.
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.
ISBN: 9783319405872
Standard No.: 10.1007/978-3-319-40587-2doiSubjects--Topical Terms:
528261
Noncooperative games (Mathematics)
LC Class. No.: QA272.5
Dewey Class. No.: 519.3
Non-cooperative stochastic differential game theory of generalized Markov jump linear systems
LDR
:02814nam a2200325 a 4500
001
956198
003
DE-He213
005
20160902102354.0
006
m d
007
cr nn 008maaau
008
201117s2017 gw s 0 eng d
020
$a
9783319405872
$q
(electronic bk.)
020
$a
9783319405865
$q
(paper)
024
7
$a
10.1007/978-3-319-40587-2
$2
doi
035
$a
978-3-319-40587-2
040
$a
GP
$c
GP
041
0
$a
eng
050
4
$a
QA272.5
072
7
$a
TJFM
$2
bicssc
072
7
$a
TEC004000
$2
bisacsh
082
0 4
$a
519.3
$2
23
090
$a
QA272.5
$b
.N812 2017
245
0 0
$a
Non-cooperative stochastic differential game theory of generalized Markov jump linear systems
$h
[electronic resource] /
$c
by Cheng-ke Zhang ... [et al.].
260
$a
Cham :
$c
2017.
$b
Springer International Publishing :
$b
Imprint: Springer,
300
$a
xv, 187 p. :
$b
ill., digital ;
$c
24 cm.
490
1
$a
Studies in systems, decision and control,
$x
2198-4182 ;
$v
v.67
505
0
$a
Introduction -- Deterministic and Stochastic Differential Games -- Stochastic Differential Games of Continuous-time Markov Jump Linear Systems -- Stochastic Differential Game of Discrete-time Markov Jump Linear System -- Stochastic Differential Game of Stochastic Markov Jump Singular Systems -- Game Theory Approach to Stochastic H2/H∞ Control of Markov Jump Linear Singular Systems -- Applications of Stochastic Differential Game Theory for Linear Markov Jump Systems to Finance and Insurance.
520
$a
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.
650
0
$a
Noncooperative games (Mathematics)
$3
528261
650
0
$a
Stochastic systems.
$3
672347
650
1 4
$a
Engineering.
$3
561152
650
2 4
$a
Control.
$3
782232
650
2 4
$a
Operation Research/Decision Theory.
$3
881408
650
2 4
$a
Electronics and Microelectronics, Instrumentation.
$3
670219
700
1
$a
Zhang, Cheng-ke.
$3
1247149
710
2
$a
SpringerLink (Online service)
$3
593884
773
0
$t
Springer eBooks
830
0
$a
Studies in systems, decision and control ;
$v
v. 2.
$3
975418
856
4 0
$u
http://dx.doi.org/10.1007/978-3-319-40587-2
950
$a
Engineering (Springer-11647)
based on 0 review(s)
Multimedia
Reviews
Add a review
and share your thoughts with other readers
Export
pickup library
Processing
...
Change password
Login