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# ðŸ“™ Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems by Cheng-ke Zhang, Huai-nian Zhu, Hai-ying Zhou, Ning Bin (auth.) â€” free download

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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.

- Series:
**Studies in Systems, Decision and Control 67** - Author:
**Cheng-ke Zhang, Huai-nian Zhu, Hai-ying Zhou, Ning Bin (auth.)** - Year:
**2017** - Publisher:
**Springer International Publishing** - Language:
**English** - ISBN:
**978-3-319-40587-2,978-3-319-40586-5**

- File size:
**2 489 033** - Format:
**pdf**

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Safety critical and high-integrity systems, such as industrial plants and economic systems, can be subject to abrupt changes - for instance, due to component or interconnection failure, sudden environment changes, etc.Combining probability and operator th...

This brief broadens readersâ€™ understanding of stochastic control by highlighting recent advances in the design of optimal control for Markov jump linear systems (MJLS). It also presents an algorithm that attempts to solve this open stochastic control prob...

This volume consists of 15 articles written by experts in stochastic analysis. The first paper in the volume, Stochastic Evolution Equations by N V Krylov and B L Rozovskii, was originally published in Russian in 1979. After more than a quarter-century, t...

This volume consists of 15 articles written by experts in stochastic analysis. The first paper in the volume, Stochastic Evolution Equations by N V Krylov and B L Rozovskii, was originally published in Russian in 1979. After more than a quarter-century, t...

This IMA Volume in Mathematics and its Applications STOCHASTIC DIFFERENTIAL SYSTEMS, STOCHASTIC CONTROL THEORY AND APPLICATIONS is the proceedings of a workshop which was an integral part of the 1986-87 IMA program on STOCHASTIC DIFFERENTIAL EQUATIONS AND...

This text develops the theory of systems of stochastic differential equations, and it presents applications in probability, partial differential equations, and stochastic control problems. Originally published in two volumes, it combines a book of basic t...

This text develops the theory of systems of stochastic differential equations, and it presents applications in probability, partial differential equations, and stochastic control problems. Originally published in two volumes, it combines a book of basic t...

This text develops the theory of systems of stochastic differential equations, and it presents applications in probability, partial differential equations, and stochastic control problems. Originally published in two volumes, it combines a book of basic t...

Game theory is the mathematical study of interaction among independent, self-interested agents. The audience for game theory has grown dramatically in recent years, and now spans disciplines as diverse as political science, biology, psychology, economics,...