Stochastic Differential Games. Theory and Applications

Stochastic Differential Games. Theory and Applications
Title Stochastic Differential Games. Theory and Applications PDF eBook
Author Kandethody M. Ramachandran
Publisher Springer Science & Business Media
Pages 253
Release 2012-01-05
Genre Mathematics
ISBN 9491216473

Download Stochastic Differential Games. Theory and Applications Book in PDF, Epub and Kindle

The subject theory is important in finance, economics, investment strategies, health sciences, environment, industrial engineering, etc.

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

Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
Title Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications PDF eBook
Author Rene Carmona
Publisher SIAM
Pages 263
Release 2016-02-18
Genre Mathematics
ISBN 1611974240

Download Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications Book in PDF, Epub and Kindle

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.

Differential Games and Applications

Differential Games and Applications
Title Differential Games and Applications PDF eBook
Author Tamer S. Basar
Publisher Springer
Pages 205
Release 2014-03-12
Genre Technology & Engineering
ISBN 9783662168660

Download Differential Games and Applications Book in PDF, Epub and Kindle

This volume contains fifteen articles on the topic of differential and dynamic games, focusing on both theory and applications. It covers a variety of areas and presents recent developments on topics of current interest. It should be useful to researchers in differential and dynamic games, systems and control, operations research and mathematical economics.

Differential Games in Economics and Management Science

Differential Games in Economics and Management Science
Title Differential Games in Economics and Management Science PDF eBook
Author Engelbert Dockner
Publisher Cambridge University Press
Pages 398
Release 2000-11-16
Genre Business & Economics
ISBN 9780521637329

Download Differential Games in Economics and Management Science Book in PDF, Epub and Kindle

A comprehensive, self-contained survey of the theory and applications of differential games, one of the most commonly used tools for modelling and analysing economics and management problems which are characterised by both multiperiod and strategic decision making. Although no prior knowledge of game theory is required, a basic knowledge of linear algebra, ordinary differential equations, mathematical programming and probability theory is necessary. Part One presents the theory of differential games, starting with the basic concepts of game theory and going on to cover control theoretic models, Markovian equilibria with simultaneous play, differential games with hierarchical play, trigger strategy equilibria, differential games with special structures, and stochastic differential games. Part Two offers applications to capital accumulation games, industrial organization and oligopoly games, marketing, resources and environmental economics.

Stochastic Differential Equations and Applications

Stochastic Differential Equations and Applications
Title Stochastic Differential Equations and Applications PDF eBook
Author Avner Friedman
Publisher Academic Press
Pages 248
Release 2014-06-20
Genre Mathematics
ISBN 1483217876

Download Stochastic Differential Equations and Applications Book in PDF, Epub and Kindle

Stochastic Differential Equations and Applications, Volume 1 covers the development of the basic theory of stochastic differential equation systems. This volume is divided into nine chapters. Chapters 1 to 5 deal with the basic theory of stochastic differential equations, including discussions of the Markov processes, Brownian motion, and the stochastic integral. Chapter 6 examines the connections between solutions of partial differential equations and stochastic differential equations, while Chapter 7 describes the Girsanov's formula that is useful in the stochastic control theory. Chapters 8 and 9 evaluate the behavior of sample paths of the solution of a stochastic differential system, as time increases to infinity. This book is intended primarily for undergraduate and graduate mathematics students.

Probabilistic Theory of Mean Field Games with Applications I

Probabilistic Theory of Mean Field Games with Applications I
Title Probabilistic Theory of Mean Field Games with Applications I PDF eBook
Author René Carmona
Publisher Springer
Pages 728
Release 2018-03-01
Genre Mathematics
ISBN 3319589202

Download Probabilistic Theory of Mean Field Games with Applications I Book in PDF, Epub and Kindle

This two-volume book offers a comprehensive treatment of the probabilistic approach to mean field game models and their applications. The book is self-contained in nature and includes original material and applications with explicit examples throughout, including numerical solutions. Volume I of the book is entirely devoted to the theory of mean field games without a common noise. The first half of the volume provides a self-contained introduction to mean field games, starting from concrete illustrations of games with a finite number of players, and ending with ready-for-use solvability results. Readers are provided with the tools necessary for the solution of forward-backward stochastic differential equations of the McKean-Vlasov type at the core of the probabilistic approach. The second half of this volume focuses on the main principles of analysis on the Wasserstein space. It includes Lions' approach to the Wasserstein differential calculus, and the applications of its results to the analysis of stochastic mean field control problems. Together, both Volume I and Volume II will greatly benefit mathematical graduate students and researchers interested in mean field games. The authors provide a detailed road map through the book allowing different access points for different readers and building up the level of technical detail. The accessible approach and overview will allow interested researchers in the applied sciences to obtain a clear overview of the state of the art in mean field games.

Advances in Dynamic Games

Advances in Dynamic Games
Title Advances in Dynamic Games PDF eBook
Author Pierre Cardaliaguet
Publisher Springer Science & Business Media
Pages 421
Release 2012-09-13
Genre Mathematics
ISBN 0817683550

Download Advances in Dynamic Games Book in PDF, Epub and Kindle

This book focuses on various aspects of dynamic game theory, presenting state-of-the-art research and serving as a testament to the vitality and growth of the field of dynamic games and their applications. Its contributions, written by experts in their respective disciplines, are outgrowths of presentations originally given at the 14th International Symposium of Dynamic Games and Applications held in Banff. Advances in Dynamic Games covers a variety of topics, ranging from evolutionary games, theoretical developments in game theory and algorithmic methods to applications, examples, and analysis in fields as varied as mathematical biology, environmental management, finance and economics, engineering, guidance and control, and social interaction. Featured throughout are valuable tools and resources for researchers, practitioners, and graduate students interested in dynamic games and their applications to mathematics, engineering, economics, and management science.​