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020 _a331940587X
_q(electronic bk.)
020 _a9783319405872
_q(electronic bk.)
020 _z3319405861
020 _z9783319405865
_q(print)
035 _a(OCoLC)958269772
_z(OCoLC)958077824
_z(OCoLC)958099498
_z(OCoLC)960086610
040 _aGW5XE
_cGW5XE
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_bspa
050 4 _aQA272.5
_b2017 EB
100 1 _998963
_aNing, B.
_q(Bin)
_eautor
245 1 0 _aNon-cooperative stochastic differential game theory of generalized Markov jump linear systems
_cCheng-ke Zhang, Huai-nian Zhu, Hai-ying Zhou, Ning Bin
264 1 _aSwitzerland
_bSpringer
_c[2017]
264 4 _c2017
300 _a1 recurso en línea (xv, 187 páginas)
_bilustraciones
336 _aTexto
_btxt
_2rdacontent
337 _aelectrónico
_bc
_2rdamedia
338 _arecurso electrónico
_bcr
_2rdacarrier
490 0 _aStudies in systems, decision and control
_x2198-4182
_vvolume 67
500 _aSpringerLink
504 _aIncluye referencias bibliográficas
505 0 _aPreface; Contents; Representation of Symbol; Content Introduction; 1 Introduction; 1.1 Research and Development Status of Generalized Markov Jump Linear System Theory; 1.1.1 Basic Model of Generalized Markov Jump Linear Systems; 1.1.2 Research Status of Generalized Markov Jump Systems; 1.2 Differential Games for the Generalized Markov Jump Linear Systems; 1.3 Contents of This Book; References; 2 Deterministic and Stochastic Differential Games; 2.1 Dynamic Optimization Techniques; 2.1.1 Dynamic Programming; 2.1.2 Optimal Control; 2.1.3 Stochastic Control.
505 8 _a2.2 Differential Games and Their Solution Concepts2.2.1 Open-Loop Nash Equilibria; 2.2.2 Closed-Loop Nash Equilibria; 2.2.3 Feedback Nash Equilibria; 2.3 Stochastic Differential Games and Their Solutions; 2.3.1 The Model of Stochastic Differential Game; 2.3.2 The Solutions of Stochastic Differential Game; 3 Stochastic Differential Games of Continuous-Time Markov Jump Linear Systems; 3.1 Stochastic LQ Problem-Differential Game with One Player; 3.1.1 Finite-Time Horizon Case; 3.1.1.1 Problem Formulation; 3.1.1.2 Main Results; 3.1.2 Infinite-Time Horizon Case; 3.1.2.1 Problem Formulation.
505 8 _a3.1.2.2 Main Results3.2 Stochastic Nash Differential Games with Two Player; 3.2.1 Finite-Time Horizon Case; 3.2.1.1 Problem Formulation; 3.2.1.2 Main Results; 3.2.2 Infinite-Time Horizon Case; 3.2.2.1 Problem Formulation; 3.2.2.2 Main Results; 3.2.3 Two Person Zero-Sum Stochastic Differential Game; 3.2.3.1 Finite-Time Horizon Case; 3.2.3.2 Infinite-Time Horizon Case; 3.2.4 Numerical Example; 3.3 Stochastic Stackelberg Differential Game with Two Person; 3.3.1 Problem Formulation; 3.3.2 Main Results; 3.4 Summary; References.
505 8 _a4 Stochastic Differential Game of Discrete-Time Markov Jump Linear Systems4.1 Stochastic LQ Problem-Differential Game with One Person; 4.1.1 Finite-Time Horizon; 4.1.1.1 Problem Formulation; 4.1.1.2 Main Results; 4.1.2 Infinite-Time Horizon; 4.2 Stochastic Nash Differential Games with Two Person; 4.2.1 Finite-Time Horizon; 4.2.1.1 Problem Formulation; 4.2.1.2 Main Result; 4.2.2 Infinite-Time Horizon; 4.2.2.1 Problem Formulation; 4.2.2.2 Main Result; 4.2.3 Two Person Zero-Sum Stochastic Differential Games; 4.2.3.1 Finite Time Horizon; 4.2.3.2 Infinite-Time Horizon.
505 8 _a4.3 Stackelberg Differential Games with Two Person4.3.1 Finite-Time Horizon; 4.3.1.1 Problem Formulation; 4.3.1.2 Main Result; 4.3.2 Infinite-Time Horizon; 4.4 Summary; References; 5 Stochastic Differential Game of Stochastic Markov Jump Singular Systems; 5.1 Stochastic LQ Problems-Differential Games of One Player; 5.1.1 Preliminaries; 5.1.1.1 Stability of the Stochastic Markov Jump Singular Systems; 5.1.2 LQ Problem of Stochastic Markov Jump Singular Systems; 5.1.2.1 Finite-Time Horizon LQ Problem; 5.1.2.2 Infinite-Time Horizon LQ Problem; 5.2 Two Person Zero-Sum Differential Games.
520 3 _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.
588 0 _aOnline resource; title from PDF title page (SpringerLink, viewed September 12, 2016).
988 _aEBOOK, EBSPRINGER_2017A
650 7 _aTeoría de juegos
_2embne
_9686845
700 1 _aZhang, Cheng-ke
_eautor
_9676909
700 1 _aZhou, Hai-ying
_eautor
_9676910
700 1 _aZhu, Huai-nian
_eautor
_9676911
856 4 0 _uhttps://go.openathens.net/redirector/universidadeuropea.es?url=http://link.springer.com/10.1007/978-3-319-40587-2
_zAcceso a este recurso digital (usuarios Universidad Europea de Madrid)
942 _2lcc
_cLE
998 _b01/2021
_dz
_ea
_zSI