Stochastic Differential Games Theory And Applications
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Stochastic Differential Games Theory and Applications
Author | : Kandethody M. Ramachandran,Chris P. Tsokos |
Publsiher | : Springer Science & Business Media |
Total Pages | : 253 |
Release | : 2012-01-05 |
Genre | : Mathematics |
ISBN | : 9789491216473 |
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The subject theory is important in finance, economics, investment strategies, health sciences, environment, industrial engineering, etc.
Stochastic and Differential Games
Author | : Martino Bardi,T.E.S. Raghavan,T. Parthasarathy |
Publsiher | : Springer Science & Business Media |
Total Pages | : 404 |
Release | : 1999-06 |
Genre | : Mathematics |
ISBN | : 0817640290 |
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The theory of two-person, zero-sum differential games started at the be ginning of the 1960s with the works of R. Isaacs in the United States and L. S. Pontryagin and his school in the former Soviet Union. Isaacs based his work on the Dynamic Programming method. He analyzed many special cases of the partial differential equation now called Hamilton Jacobi-Isaacs-briefiy HJI-trying to solve them explicitly and synthe sizing optimal feedbacks from the solution. He began a study of singular surfaces that was continued mainly by J. Breakwell and P. Bernhard and led to the explicit solution of some low-dimensional but highly nontriv ial games; a recent survey of this theory can be found in the book by J. Lewin entitled Differential Games (Springer, 1994). Since the early stages of the theory, several authors worked on making the notion of value of a differential game precise and providing a rigorous derivation of the HJI equation, which does not have a classical solution in most cases; we mention here the works of W. Fleming, A. Friedman (see his book, Differential Games, Wiley, 1971), P. P. Varaiya, E. Roxin, R. J. Elliott and N. J. Kalton, N. N. Krasovskii, and A. I. Subbotin (see their book Po sitional Differential Games, Nauka, 1974, and Springer, 1988), and L. D. Berkovitz. A major breakthrough was the introduction in the 1980s of two new notions of generalized solution for Hamilton-Jacobi equations, namely, viscosity solutions, by M. G. Crandall and P. -L.
Differential Games in Economics and Management Science
Author | : Engelbert Dockner |
Publsiher | : Cambridge University Press |
Total Pages | : 398 |
Release | : 2000-11-16 |
Genre | : Business & Economics |
ISBN | : 0521637325 |
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A comprehensive, self-contained survey of the theory and applications of differential games, one of the most commonly used tools for modelling and analysing economics and management problems which are characterised by both multiperiod and strategic decision making. Although no prior knowledge of game theory is required, a basic knowledge of linear algebra, ordinary differential equations, mathematical programming and probability theory is necessary. Part One presents the theory of differential games, starting with the basic concepts of game theory and going on to cover control theoretic models, Markovian equilibria with simultaneous play, differential games with hierarchical play, trigger strategy equilibria, differential games with special structures, and stochastic differential games. Part Two offers applications to capital accumulation games, industrial organization and oligopoly games, marketing, resources and environmental economics.
Game Theory and Applications
Author | : V. V. Mazalov |
Publsiher | : Nova Publishers |
Total Pages | : 310 |
Release | : 2002 |
Genre | : Mathematics |
ISBN | : 159033373X |
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This book brings together papers of well-known specialists in game theory and adjacent problems. It presents the basic results in dynamic games, stochastic games, applications of game theoretical methods in ecology and economics and methodological aspects of game theory.
Advances in Dynamic Games
Author | : Pierre Cardaliaguet,Ross Cressman |
Publsiher | : Springer Science & Business Media |
Total Pages | : 421 |
Release | : 2012-09-13 |
Genre | : Mathematics |
ISBN | : 9780817683559 |
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This book focuses on various aspects of dynamic game theory, presenting state-of-the-art research and serving as a testament to the vitality and growth of the field of dynamic games and their applications. Its contributions, written by experts in their respective disciplines, are outgrowths of presentations originally given at the 14th International Symposium of Dynamic Games and Applications held in Banff. Advances in Dynamic Games covers a variety of topics, ranging from evolutionary games, theoretical developments in game theory and algorithmic methods to applications, examples, and analysis in fields as varied as mathematical biology, environmental management, finance and economics, engineering, guidance and control, and social interaction. Featured throughout are valuable tools and resources for researchers, practitioners, and graduate students interested in dynamic games and their applications to mathematics, engineering, economics, and management science.
Advances in Dynamic Games
Author | : Pierre Cardaliaguet,Ross Cressman |
Publsiher | : Springer Science & Business Media |
Total Pages | : 425 |
Release | : 2012-09-10 |
Genre | : Mathematics |
ISBN | : 9780817683542 |
Download Advances in Dynamic Games Book in PDF, Epub and Kindle
This book focuses on various aspects of dynamic game theory, presenting state-of-the-art research and serving as a testament to the vitality and growth of the field of dynamic games and their applications. Its contributions, written by experts in their respective disciplines, are outgrowths of presentations originally given at the 14th International Symposium of Dynamic Games and Applications held in Banff. Advances in Dynamic Games covers a variety of topics, ranging from evolutionary games, theoretical developments in game theory and algorithmic methods to applications, examples, and analysis in fields as varied as mathematical biology, environmental management, finance and economics, engineering, guidance and control, and social interaction. Featured throughout are valuable tools and resources for researchers, practitioners, and graduate students interested in dynamic games and their applications to mathematics, engineering, economics, and management science.
Differential Games
Author | : Rufus Isaacs |
Publsiher | : Courier Corporation |
Total Pages | : 420 |
Release | : 1999-01-01 |
Genre | : Mathematics |
ISBN | : 0486406822 |
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One of the definitive works in game theory, this volume takes an original and expert look at conflict solutions. Drawing on game theory, the calculus of variations, and control theory, the author solves an amazing array of problems relating to military situations, pursuit and evasion tactics, athletic contests, and many more. Clearly detailed examples; numerous calculations. 1965 edition.
Lectures on BSDEs Stochastic Control and Stochastic Differential Games with Financial Applications
Author | : Rene Carmona |
Publsiher | : SIAM |
Total Pages | : 265 |
Release | : 2016-02-18 |
Genre | : Mathematics |
ISBN | : 9781611974249 |
Download Lectures on BSDEs Stochastic Control and Stochastic Differential Games with Financial Applications Book in PDF, Epub and Kindle
The goal of this textbook 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. While optimal control is taught in many graduate programs in applied mathematics and operations research, the author was intrigued by the lack of coverage of the theory of stochastic differential games. This is the first title in SIAM?s Financial Mathematics book series and is based on the author?s lecture notes. It will be helpful to 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 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.