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

2016-09-02 Technology & Engineering
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Release : 2016-09-02
Genre : Technology & Engineering
Kind : eBook
Book Rating : 87X/5 ( reviews)

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Book Synopsis Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems by : Cheng-ke Zhang

Download or read book Non-cooperative Stochastic Differential Game Theory of Generalized Markov Jump Linear Systems written by Cheng-ke Zhang. This book was released on 2016-09-02. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Stochastic and Differential Games

2012-12-06 Mathematics
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Release : 2012-12-06
Genre : Mathematics
Kind : eBook
Book Rating : 927/5 ( reviews)

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Book Synopsis Stochastic and Differential Games by : Martino Bardi

Download or read book Stochastic and Differential Games written by Martino Bardi. This book was released on 2012-12-06. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Advances in Materials Sciences, Energy Technology and Environmental Engineering

2017-01-20 Science
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Release : 2017-01-20
Genre : Science
Kind : eBook
Book Rating : 950/5 ( reviews)

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Book Synopsis Advances in Materials Sciences, Energy Technology and Environmental Engineering by : Aragona Patty

Download or read book Advances in Materials Sciences, Energy Technology and Environmental Engineering written by Aragona Patty. This book was released on 2017-01-20. Available in PDF, EPUB and Kindle. Book excerpt: The 2016 International Conference on Materials Science, Energy Technology and Environmental Engineering (MSETEE 2016) took place May 28-29, 2016 in Zhuhai City, China. MSETEE 2016 brought together academics and industrial experts in the field of materials science, energy technology and environmental engineering. The primary goal of the conference was to promote research and developmental activities in these research areas and to promote scientific information interchange between researchers, developers, engineers, students, and practitioners working around the world. The conference will be held every year serving as platform for researchers to share views and experience in materials science, energy technology and environmental engineering and related areas.

Stochastic Game Strategies and their Applications

2019-07-31 Mathematics
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Release : 2019-07-31
Genre : Mathematics
Kind : eBook
Book Rating : 508/5 ( reviews)

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Book Synopsis Stochastic Game Strategies and their Applications by : Bor-Sen Chen

Download or read book Stochastic Game Strategies and their Applications written by Bor-Sen Chen. This book was released on 2019-07-31. Available in PDF, EPUB and Kindle. Book excerpt: Game theory involves multi-person decision making and differential dynamic game theory has been widely applied to n-person decision making problems, which are stimulated by a vast number of applications. This book addresses the gap to discuss general stochastic n-person noncooperative and cooperative game theory with wide applications to control systems, signal processing systems, communication systems, managements, financial systems, and biological systems. H∞ game strategy, n-person cooperative and noncooperative game strategy are discussed for linear and nonlinear stochastic systems along with some computational algorithms developed to efficiently solve these game strategies.

Discrete-Time Markov Jump Linear Systems

2005-02-02 Computers
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Release : 2005-02-02
Genre : Computers
Kind : eBook
Book Rating : 612/5 ( reviews)

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Book Synopsis Discrete-Time Markov Jump Linear Systems by : O.L.V. Costa

Download or read book Discrete-Time Markov Jump Linear Systems written by O.L.V. Costa. This book was released on 2005-02-02. Available in PDF, EPUB and Kindle. Book excerpt: This will be the most up-to-date book in the area (the closest competition was published in 1990) This book takes a new slant and is in discrete rather than continuous time

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