Coverart for item
The Resource Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications, René Carmona (Princeton University, Princeton, New Jersey)

Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications, René Carmona (Princeton University, Princeton, New Jersey)

Label
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
Statement of responsibility
René Carmona (Princeton University, Princeton, New Jersey)
Title variation
Lectures on backward stochastic differential equations, stochastic control, and stochastic differential games with financial applications
Creator
Contributor
Author
Publisher
Subject
Language
eng
Summary
The goal of this textbooks 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. It is designed for 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 the 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
Member of
Additional physical form
Also available in print version.
Cataloging source
CaBNVSL
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Financial mathematics
Series volume
01
Target audience
adult
Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications, René Carmona (Princeton University, Princeton, New Jersey)
Label
Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications, René Carmona (Princeton University, Princeton, New Jersey)
Link
http://libproxy.rpi.edu/login?url=http://epubs.siam.org/doi/book/10.1137/1.9781611974249
Publication
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Bibliography note
Includes bibliographical references (pages 253-259) and indexes
Carrier category
online resource
Carrier MARC source
rdacarrier
Color
black and white
Content category
text
Content type MARC source
rdacontent
Contents
Preface -- Stochastic differential equations -- Backward stochastic differential equations -- Continuous time stochastic optimization and control -- Probabilistic approaches to stochastic control -- Stochastic differential games -- Mean-field games
http://library.link/vocab/cover_art
https://contentcafe2.btol.com/ContentCafe/Jacket.aspx?Return=1&Type=S&Value=9781611974249&userID=ebsco-test&password=ebsco-test
Dimensions
unknown
http://library.link/vocab/discovery_link
{'f': 'http://opac.lib.rpi.edu/record=b3916344'}
Extent
1 PDF (ix, 265 pages)
File format
multiple file formats
Form of item
online
Governing access note
Restricted to subscribers or individual electronic text purchasers
Isbn
9781611974249
Media category
electronic
Media MARC source
isbdmedia
Other physical details
illustrations (some color).
Publisher number
FM01
Reformatting quality
access
Specific material designation
remote
System details
  • Mode of access: World Wide Web
  • System requirements: Adobe Acrobat Reader

Library Locations

    • Folsom LibraryBorrow it
      110 8th St, Troy, NY, 12180, US
      42.729766 -73.682577
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