Carmona, René. Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games with Financial Applications. Society for Industrial and Applied Mathematics (SIAM), 2016.

eng

René Carmona

Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games with Financial Applications

Society for Industrial and Applied Mathematics (SIAM)
2016

Taschenbuch
ISBN 9781611974232

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.

71,50 €

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