Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications (Q2807034)

This is a terse, rapid introduction to the listed topics, based on course material developed by the author. The book is in three parts. The first part develops first the classical theory of stochastic differential equations (SDEs) covering standard topics such as their well-posedness and connections to partial differential equations inclusive of the Feynman-Kac formula. It also does the basics of the McKean-Vlasov equation for interacting SDEs with a mean field interaction, and its conditional version. It then develops the basics of backward SDEs and their mean field analog, touching upon well-posedness issues and systems of backward-forward SDEs. The second part is devoted to stochastic control. It covers all the standard stochastic control problems including singular and impulsive control and control of mean field equations, and their analysis via dynamic programming and stochastic maximum principle. Part three extends this theory to stochastic differential games and mean field games. The motivation for the entire development comes from finance applications and with this in mind, examples from mathematical finance such as portfolio theory have been used throughout to illustrate the theory.