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

Released on by Cheng-ke Zhang
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  • Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems Book Detail

  • Author : Cheng-ke Zhang
  • Release Date : 2016-09-02
  • Publisher : Springer
  • Genre : Technology & Engineering
  • Pages : 196
  • ISBN 13 : 331940587X
  • File Size : 36,36 MB
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Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems by Cheng-ke Zhang PDF Summary

Book Description: 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.

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Total View : 8094 Views
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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. Pontrya