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Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching
Panpan Zhang / Zuo Quan Xu
optimization / stochastic calculusResource overview

Multidimensional indefinite stochastic Riccati equations and zero-sum stochastic linear-quadratic differential games with non-Markovian regime switching

Paper2023

by Panpan Zhang, Zuo Quan Xu

Tags
optimizationstochastic calculusstochastic differential equationsstochastic processes

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Suggested foundations for stochastic processes and pricing and optimisation and numerical methods. Specialist prerequisites vary by paper.

Before you read

  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

  3. Vectors, Matrices and Linear Systems

    Read the linear algebra used to define a numerical problem.

  4. Constrained and Convex Optimisation

    Identify the objective, constraints and conditions for an optimum.

Go further

  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

  3. Calibration as an Inverse Problem

    Understand identifiability and fitted model parameters.

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Explore Derivatives Pricing and Computational Finance Explore Linear Algebra, Optimisation and Numerical Methods

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