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Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems

  • Cheng-ke Zhang
  • Huai-nian Zhu
  • Hai-ying Zhou
  • Ning Bin
Conference proceedings

Part of the Studies in Systems, Decision and Control book series (SSDC, volume 67)

Table of contents

  1. Front Matter
    Pages i-xv
  2. Cheng-ke Zhang, Huai-nian Zhu, Hai-ying Zhou, Ning Bin
    Pages 1-15
  3. Cheng-ke Zhang, Huai-nian Zhu, Hai-ying Zhou, Ning Bin
    Pages 17-29
  4. Cheng-ke Zhang, Huai-nian Zhu, Hai-ying Zhou, Ning Bin
    Pages 31-59
  5. Cheng-ke Zhang, Huai-nian Zhu, Hai-ying Zhou, Ning Bin
    Pages 61-82
  6. Cheng-ke Zhang, Huai-nian Zhu, Hai-ying Zhou, Ning Bin
    Pages 83-107
  7. Cheng-ke Zhang, Huai-nian Zhu, Hai-ying Zhou, Ning Bin
    Pages 109-134

About these proceedings

Introduction

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.

Keywords

Singular Markov Jump Linear Systems Stochastic Differential Game Nash Equilibrium Robust Control Portfolio Optimization Option Pricing

Authors and affiliations

  • Cheng-ke Zhang
    • 1
  • Huai-nian Zhu
    • 2
  • Hai-ying Zhou
    • 3
  • Ning Bin
    • 4
  1. 1.School of Economics and CommerceGuangdong University of Technology School of Economics and CommerceGuangzhouChina
  2. 2.School of Economics & CommenceGuangdong University of TechnologyGuangzhouChina
  3. 3.School of Economics and CommerceGuangdong University of TechnologyGuangzhouChina
  4. 4.School of ManagementGuangdong University of Technology School of Management GuangzhouChina

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-40587-2
  • Copyright Information Springer International Publishing Switzerland 2017
  • Publisher Name Springer, Cham
  • eBook Packages Engineering
  • Print ISBN 978-3-319-40586-5
  • Online ISBN 978-3-319-40587-2
  • Series Print ISSN 2198-4182
  • Series Online ISSN 2198-4190
  • Buy this book on publisher's site
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