Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications
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Publication:2807034
dynamic programmingbackward stochastic differential equationsmean field gamesstochastic controlstochastic differential equationsstochastic differential gamesstochastic maximum principleMcKean-Vlasov equation
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Differential games and control (49N70) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Differential games (aspects of game theory) (91A23) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Applications of optimal control and differential games (49N90) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Financial applications of other theories (91G80) Optimal stochastic control (93E20) Research exposition (monographs, survey articles) pertaining to calculus of variations and optimal control (49-02)
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