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

• Main Authors: Zhang, Cheng-ke (Author), Zhu, Huai-nian (Author), Zhou, Hai-ying (Author), Bin, Ning (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2017.
• Series: Studies in Systems, Decision and Control, 67
• Subjects: Engineering.; Operations research.; Decision making.; Control engineering.; Electronics.; Microelectronics.; Control.; Operation Research/Decision Theory.; Electronics and Microelectronics, Instrumentation.

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 dif...

Table of Contents:

• Introduction
• Deterministic and Stochastic Differential Games
• Stochastic Differential Games of Continuous-time Markov Jump Linear Systems
• Stochastic Differential Game of Discrete-time Markov Jump Linear System
• Stochastic Differential Game of Stochastic Markov Jump Singular Systems
• Game Theory Approach to Stochastic H2/H∞ Control of Markov Jump Linear Singular Systems
• Applications of Stochastic Differential Game Theory for Linear Markov Jump Systems to Finance and Insurance.