Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications by R Carmona

Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications by R Carmona

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.

René Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University, New Jersey, where he chairs the Department of Operations Research and Financial Engineering. He is an associate member of the Department of Mathematics, a member of the Program in Applied and Computational Mathematics, and a member of the Bendheim Center for Finance, where he oversaw the Master in Finance program for thirteen years. Dr Carmona's publications include over 100 articles and seven books in probability, statistics, and financial mathematics. He was elected Fellow of the Institute of Mathematical Statistics in 1984 and of SIAM in 2009. He is the founding chair of the SIAM Activity Group on Financial Mathematics and Engineering and a founding co-editor of the Electronic Journal of Probability, Electronic Communications in Probability, and the SIAM Journal on Financial Mathematics.

SKU	Unavailable
ISBN 13	9781611974232
ISBN 10	1611974232
Title	Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
Author	Rene Carmona
Condition	Unavailable
Binding Type	Paperback
Publisher	Society for Industrial & Applied Mathematics,U.S.
Year published	2016-10-27
Number of pages	274
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note	Unavailable