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001 978-3-319-40587-2
003 DE-He213
005 20220801222338.0
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008 160902s2017 sz | s |||| 0|eng d
020 _a9783319405872
_9978-3-319-40587-2
024 7 _a10.1007/978-3-319-40587-2
_2doi
050 4 _aTJ212-225
072 7 _aTJFM
_2bicssc
072 7 _aGPFC
_2bicssc
072 7 _aTEC004000
_2bisacsh
072 7 _aTJFM
_2thema
082 0 4 _a629.8312
_223
082 0 4 _a003
_223
100 1 _aZhang, Cheng-ke.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
_960991
245 1 0 _aNon-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems
_h[electronic resource] /
_cby Cheng-ke Zhang, Huai-nian Zhu, Hai-ying Zhou, Ning Bin.
250 _a1st ed. 2017.
264 1 _aCham :
_bSpringer International Publishing :
_bImprint: Springer,
_c2017.
300 _aXV, 187 p. 6 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aStudies in Systems, Decision and Control,
_x2198-4190 ;
_v67
505 0 _aIntroduction -- 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 _aThis 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 _aControl engineering.
_931970
650 0 _aOperations research.
_912218
650 0 _aElectronics.
_93425
650 1 4 _aControl and Systems Theory.
_931972
650 2 4 _aOperations Research and Decision Theory.
_931599
650 2 4 _aElectronics and Microelectronics, Instrumentation.
_932249
700 1 _aZhu, Huai-nian.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
_960992
700 1 _aZhou, Hai-ying.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
_960993
700 1 _aBin, Ning.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
_960994
710 2 _aSpringerLink (Online service)
_960995
773 0 _tSpringer Nature eBook
776 0 8 _iPrinted edition:
_z9783319405865
776 0 8 _iPrinted edition:
_z9783319405889
776 0 8 _iPrinted edition:
_z9783319821337
830 0 _aStudies in Systems, Decision and Control,
_x2198-4190 ;
_v67
_960996
856 4 0 _uhttps://doi.org/10.1007/978-3-319-40587-2
912 _aZDB-2-ENG
912 _aZDB-2-SXE
942 _cEBK
999 _c80666
_d80666