Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications (SIAM Series on Financial Mathematics 1)
By: Rene Carmona (author)Paperback
A vital introduction to the stochastic analysis tools which play an increasing role in the probabilistic approach to optimization problems, including stochastic control and stochastic differential games. As one of the few books on game theory and the theory of stochastic differential games, this book will be helpful to graduate students and young researchers interested in stochastic differential equations and the probabilistic approach to stochastic control, as well as mean field games and the control of McKean-Vlasov dynamics. The theory is illustrated by application to several areas, including application to models of systemic risk, macroeconomic growth, flocking/schooling, crowd behavior, and predatory trading. Based on the author's lecture notes, this is the first title in the SIAM Series on Financial Mathematics.
Rene Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University, New Jersey, where he chairs the Department of Operations Research and Financial Engineering. He is an associate member of the Department of Mathematics, a member of the Program in Applied and Computational Mathematics, and a member of the Bendheim Center for Finance, where he oversaw the Master in Finance program for thirteen years. Dr Carmona's publications include over 100 articles and seven books in probability, statistics, and financial mathematics. He was elected Fellow of the Institute of Mathematical Statistics in 1984 and of SIAM in 2009. He is the founding chair of the SIAM Activity Group on Financial Mathematics and Engineering and a founding co-editor of the Electronic Journal of Probability, Electronic Communications in Probability, and the SIAM Journal on Financial Mathematics.
Preface; Part I. Stochastic Calculus: 1. Stochastic differential equations; 2. Backward stochastic differential equations; Part II. Stochastic Control: 3. Continuous time stochastic optimization and control; 4. Probabilistic approaches to stochastic control; Part III. Stochastic Differential Games: 5. Stochastic differential games; 6. Mean field games; Bibliography; Author index; Notation index; Subject index.
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- ID: 9781611974232
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