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
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Author : Rene Carmona
language : en
Publisher: SIAM
Release Date : 2016-02-18
Lectures On Bsdes Stochastic Control And Stochastic Differential Games With Financial Applications written by Rene Carmona and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-18 with Mathematics categories.
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.
Lectures On Bsdes Stochastic Control And Stochastic Differential Games With Financial Applications
DOWNLOAD
Author : Rene Carmona
language : en
Publisher: SIAM
Release Date : 2016-02-18
Lectures On Bsdes Stochastic Control And Stochastic Differential Games With Financial Applications written by Rene Carmona and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-18 with Mathematics categories.
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.
Backward Stochastic Differential Equations
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Author : Jianfeng Zhang
language : en
Publisher: Springer
Release Date : 2017-08-22
Backward Stochastic Differential Equations written by Jianfeng Zhang and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-08-22 with Mathematics categories.
This book provides a systematic and accessible approach to stochastic differential equations, backward stochastic differential equations, and their connection with partial differential equations, as well as the recent development of the fully nonlinear theory, including nonlinear expectation, second order backward stochastic differential equations, and path dependent partial differential equations. Their main applications and numerical algorithms, as well as many exercises, are included. The book focuses on ideas and clarity, with most results having been solved from scratch and most theories being motivated from applications. It can be considered a starting point for junior researchers in the field, and can serve as a textbook for a two-semester graduate course in probability theory and stochastic analysis. It is also accessible for graduate students majoring in financial engineering.
Stochastic Linear Quadratic Optimal Control Theory Open Loop And Closed Loop Solutions
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Author : Jingrui Sun
language : en
Publisher: Springer Nature
Release Date : 2020-06-29
Stochastic Linear Quadratic Optimal Control Theory Open Loop And Closed Loop Solutions written by Jingrui Sun and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-29 with Mathematics categories.
This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. It presents the results in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, it precisely identifies, for the first time, the interconnections between three well-known, relevant issues – the existence of optimal controls, solvability of the optimality system, and solvability of the associated Riccati equation. Although the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations. The book is mainly intended for senior undergraduate and graduate students majoring in applied mathematics who are interested in stochastic control theory. However, it will also appeal to researchers in other related areas, such as engineering, management, finance/economics and the social sciences.
Stochastic Linear Quadratic Optimal Control Theory Differential Games And Mean Field Problems
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Author : Jingrui Sun
language : en
Publisher: Springer Nature
Release Date : 2020-06-29
Stochastic Linear Quadratic Optimal Control Theory Differential Games And Mean Field Problems written by Jingrui Sun and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-29 with Mathematics categories.
This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. It presents results for two-player differential games and mean-field optimal control problems in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, the book identifies, for the first time, the interconnections between the existence of open-loop and closed-loop Nash equilibria, solvability of the optimality system, and solvability of the associated Riccati equation, and also explores the open-loop solvability of mean-filed linear-quadratic optimal control problems. Although the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations. The book is mainly intended for senior undergraduate and graduate students majoring in applied mathematics who are interested in stochastic control theory. However, it will also appeal to researchers in other related areas, such as engineering, management, finance/economics and the social sciences.
Control Engineering And Finance
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Author : Selim S. Hacısalihzade
language : en
Publisher: Springer
Release Date : 2017-12-28
Control Engineering And Finance written by Selim S. Hacısalihzade and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-12-28 with Mathematics categories.
This book includes a review of mathematical tools like modelling, analysis of stochastic processes, calculus of variations and stochastic differential equations which are applied to solve financial problems like modern portfolio theory and option pricing. Every chapter presents exercises which help the reader to deepen his understanding. The target audience comprises research experts in the field of finance engineering, but the book may also be beneficial for graduate students alike.
Stochastic Analysis Filtering And Stochastic Optimization
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Author : George Yin
language : en
Publisher: Springer Nature
Release Date : 2022-04-22
Stochastic Analysis Filtering And Stochastic Optimization written by George Yin and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-04-22 with Mathematics categories.
This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.
Rough Volatility
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Author : Christian Bayer
language : en
Publisher: SIAM
Release Date : 2023-12-18
Rough Volatility written by Christian Bayer and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-12-18 with Mathematics categories.
Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. The mathematical description of the volatility process has been an active topic of research for decades; however, driven by empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility behaves essentially as a fractional Brownian motion with a small Hurst parameter. The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling, providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject’s development and progression. This book is designed for researchers and graduate students in quantitative finance as well as quantitative analysts and finance professionals.
Lectures On Stochastic Control And Nonlinear Filtering
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Author : M. H. A. Davis
language : en
Publisher: Springer
Release Date : 1984
Lectures On Stochastic Control And Nonlinear Filtering written by M. H. A. Davis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Mathematics categories.
Backward Stochastic Differential Equations
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Author : N El Karoui
language : en
Publisher: CRC Press
Release Date : 1997-01-17
Backward Stochastic Differential Equations written by N El Karoui and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-01-17 with Mathematics categories.
This book presents the texts of seminars presented during the years 1995 and 1996 at the Université Paris VI and is the first attempt to present a survey on this subject. Starting from the classical conditions for existence and unicity of a solution in the most simple case-which requires more than basic stochartic calculus-several refinements on the hypotheses are introduced to obtain more general results.