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	Non disponible
ISBN 13	9781611974232
ISBN 10	1611974232
Titre	Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications
Auteur	Rene Carmona
État	Non disponible
Type de reliure	Paperback
Éditeur	Society for Industrial & Applied Mathematics,U.S.
Année de publication	2016-10-27
Nombre de pages	274
Note de couverture	La photo du livre est présentée à titre d'illustration uniquement. La reliure, la couverture ou l'édition réelle peuvent varier.
Note	Non disponible