東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Non-cooperative stochastic different...

Zhang, Cheng-ke.

Linked to FindBook

Google Book

Amazon

博客來

Non-cooperative stochastic differential game theory of generalized Markov jump linear systems

Record Type:	Electronic resources : Monograph/item
Title/Author:	Non-cooperative stochastic differential game theory of generalized Markov jump linear systems/ by Cheng-ke Zhang ... [et al.].
other author:	Zhang, Cheng-ke.
Published:	Cham :Springer International Publishing : : 2017.,
Description:	xv, 187 p. :ill., digital ;24 cm.
[NT 15003449]:	Introduction -- Deterministic and Stochastic Differential Games -- Stochastic Differential Games of Continuous-time Markov Jump Linear Systems -- Stochastic Differential Game of Discrete-time Markov Jump Linear System -- Stochastic Differential Game of Stochastic Markov Jump Singular Systems -- Game Theory Approach to Stochastic H2/H∞ Control of Markov Jump Linear Singular Systems -- Applications of Stochastic Differential Game Theory for Linear Markov Jump Systems to Finance and Insurance.
Contained By:	Springer eBooks
Subject:	Noncooperative games (Mathematics) -
Online resource:	http://dx.doi.org/10.1007/978-3-319-40587-2
ISBN:	9783319405872

Non-cooperative stochastic differential game theory of generalized Markov jump linear systems
Non-cooperative stochastic differential game theory of generalized Markov jump linear systems[electronic resource] /by Cheng-ke Zhang ... [et al.]. - Cham :Springer International Publishing :2017. - xv, 187 p. :ill., digital ;24 cm. - Studies in systems, decision and control,v.672198-4182 ;. - Studies in systems, decision and control ;v.67..

Introduction -- Deterministic and Stochastic Differential Games -- Stochastic Differential Games of Continuous-time Markov Jump Linear Systems -- Stochastic Differential Game of Discrete-time Markov Jump Linear System -- Stochastic Differential Game of Stochastic Markov Jump Singular Systems -- Game Theory Approach to Stochastic H2/H∞ Control of Markov Jump Linear Singular Systems -- Applications of Stochastic Differential Game Theory for Linear Markov Jump Systems to Finance and Insurance.

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.

ISBN: 9783319405872

Standard No.: 10.1007/978-3-319-40587-2doiSubjects--Topical Terms:

712075
Noncooperative games (Mathematics)

LC Class. No.: QA272.5

Dewey Class. No.: 519.3

Non-cooperative stochastic differential game theory of generalized Markov jump linear systems
LDR:02814nmm a2200325 a 4500 001 2087799
003 DE-He213
005 20160902102354.0
006 m d
007 cr nn 008maaau
008 171013s2017 gw s 0 eng d
020 $a 9783319405872 $q (electronic bk.)
020 $a 9783319405865 $q (paper)
024 7 $a 10.1007/978-3-319-40587-2 $2 doi
035 $a 978-3-319-40587-2
040 $a GP $c GP
041 0 $a eng
050 4 $a QA272.5
072 7 $a TJFM $2 bicssc
072 7 $a TEC004000 $2 bisacsh
082 0 4 $a 519.3 $2 23
090 $a QA272.5 $b .N812 2017
245 0 0 $a Non-cooperative stochastic differential game theory of generalized Markov jump linear systems $h [electronic resource] / $c by Cheng-ke Zhang ... [et al.].
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2017.
300 $a xv, 187 p. : $b ill., digital ; $c 24 cm.
490 1 $a Studies in systems, decision and control, $x 2198-4182 ; $v v.67
505 0 $a Introduction -- Deterministic and Stochastic Differential Games -- Stochastic Differential Games of Continuous-time Markov Jump Linear Systems -- Stochastic Differential Game of Discrete-time Markov Jump Linear System -- Stochastic Differential Game of Stochastic Markov Jump Singular Systems -- Game Theory Approach to Stochastic H2/H∞ Control of Markov Jump Linear Singular Systems -- Applications of Stochastic Differential Game Theory for Linear Markov Jump Systems to Finance and Insurance.
520 $a 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.
650 0 $a Noncooperative games (Mathematics) $3 712075
650 0 $a Stochastic systems. $3 663177
650 1 4 $a Engineering. $3 586835
650 2 4 $a Control. $3 1006321
650 2 4 $a Operation Research/Decision Theory. $3 1620900
650 2 4 $a Electronics and Microelectronics, Instrumentation. $3 893838
700 1 $a Zhang, Cheng-ke. $3 3216991
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer eBooks
830 0 $a Studies in systems, decision and control ; $v v.67. $3 3216992
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-40587-2
950 $a Engineering (Springer-11647)