Book Review: Lectures on BSDEs, Stochastic Control, and Stochastic Differential Games with Financial Applications by Rene Carmona
- Lawrence Livermore National Lab. (LLNL), Livermore, CA (United States)
This book is a collection of lecture notes on various topics in the area of stochastic control, stochastic differential games, and financial applications. It makes for an excellent resource for those who already have some familiarity with these topics, although as the author points out, it is not a polished textbook. If the reader is not well versed in stochastic processes and control theory this book may not be the best introduction since prerequisite knowledge of these topics is a must before diving into the material. On the other hand, the book contains a very useful section of notes at the end of each chapter describing references that can be used to get up to speed and to put the material into the wider context. In this respect, it can be used as a guide for those interested in navigating the various books and papers that are drawn upon. The book is divided into three parts: Stochastic Calculus Preliminaries, Stochastic Control, and Stochastic Differential Games. The underlying theory is developed in a systematic manner and many financial applications are scattered throughout the book.
- Research Organization:
- Lawrence Livermore National Laboratory (LLNL), Livermore, CA (United States)
- Sponsoring Organization:
- USDOE National Nuclear Security Administration (NNSA)
- Grant/Contract Number:
- AC52-07NA27344
- OSTI ID:
- 1630807
- Report Number(s):
- LLNL-JRNL-726868; 877264
- Journal Information:
- SIAM Review, Vol. 59, Issue 4; ISSN 0036-1445
- Publisher:
- Society for Industrial and Applied MathematicsCopyright Statement
- Country of Publication:
- United States
- Language:
- English
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