Non-cooperative stochastic differential game theory of generalized linear Markov jump systems (Q300739)

This book gives a comprehensive account of dynamic control (one person) and game (two person) models for stochastic linear systems whose coefficients are modulated by Markov chains -- the so-called Markov jump linear systems. Following a preamble about general deterministic and stochastic differential games, finite and infinite horizon total cost models are considered in both discrete and continuous time. Further, in the two-person case, zero sum, general non-zero sum and Stackelberg games are considered. A separate chapter analyzes the connections with robust control and yet another chapter details applications to finance, specifically to portfolio optimization, option pricing and optimal investment for an insurance company.