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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications

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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 ...

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ISBN:

1611974232

/ ISBN-13:

9781611974232

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Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
2016, Society for Industrial & Applied Mathematics,U.S., New York

ISBN-13: 9781611974232

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