Rene Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University, New Jersey, where he chairs the Department of Operations Research and Financial Engineering. He is an associate member of the Department of Mathematics, a member of the Program in Applied and Computational Mathematics, and a member of the Bendheim Center for Finance, where he oversaw the Master in Finance program for thirteen years. Dr Carmona's publications include over 100 articles and seven books in probability, statistics, and financial mathematics. He was elected Fellow of the Institute of Mathematical Statistics in 1984 and of SIAM in 2009. He is the founding chair of the SIAM Activity Group on Financial Mathematics and Engineering and a founding co-editor of the Electronic Journal of Probability, Electronic Communications in Probability, and the SIAM Journal on Financial Mathematics.
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Preface List of Notation Part I: Stochastic Calculus Chapter 1: Stochastic Differential Equations Chapter 2: Backward Stochastic Differential Equations Part II: Stochastic Control Chapter 3: Continuous Time Stochastic Optimization and Control Chapter 4: Probabilistic Approaches to Stochastic Control Part III: Stochastic Differential Games Chapter 5: Stochastic Differential Games Chapter 6: Mean Field Games Bibliography Author Index Subject Index