Overview
- Investigating systematically both the theory and methods, and their applications
- Introduces the developments and research status of the theory for singular Markov jump linear systems, deterministic and stochastic differential games, non-cooperative stochastic differential game theory of discrete-time, continuous-time and singular Markov jump linear systems as well as an approach to its robust control
- Presents applications of the game theoretic approach to finance and insurance under Markovian regime-switching models
- Serves as learning reference materials for researchers in applied and management science, engineering, operations research, systems science, and applied mathematics
- Includes supplementary material: sn.pub/extras
Part of the book series: Studies in Systems, Decision and Control (SSDC, volume 67)
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Table of contents (7 papers)
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Front Matter
Keywords
About this book
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.
Authors and Affiliations
Bibliographic Information
Book Title: Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems
Authors: Cheng-ke Zhang, Huai-nian Zhu, Hai-ying Zhou, Ning Bin
Series Title: Studies in Systems, Decision and Control
DOI: https://doi.org/10.1007/978-3-319-40587-2
Publisher: Springer Cham
eBook Packages: Engineering, Engineering (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerland AG 2017
Hardcover ISBN: 978-3-319-40586-5Published: 03 September 2016
Softcover ISBN: 978-3-319-82133-7Published: 14 June 2018
eBook ISBN: 978-3-319-40587-2Published: 02 September 2016
Series ISSN: 2198-4182
Series E-ISSN: 2198-4190
Edition Number: 1
Number of Pages: XV, 187
Number of Illustrations: 6 b/w illustrations
Topics: Control and Systems Theory, Operations Research/Decision Theory, Electronics and Microelectronics, Instrumentation