This book systematically studies the stochastic non-cooperative differential game theory of
generalized linear Markov jump systems and its application in the field of finance and
insurance. The book is an in-depth research book of the continuous time and discrete time
linear quadratic stochastic differential game in order to establish a relatively complete
framework of dynamic non-cooperative differential game theory. It uses the method of dynamic
programming principle and Riccati equation and derives it into all kinds of existence
conditions and calculating method of the equilibrium strategies of dynamic non-cooperative
differential game. Based on the game theory method this book studies the corresponding robust
control problem especially the existence condition and design method of the optimal robust
control strategy. The book discusses the theoretical results and its applications in the risk
control option pricing and the optimal investment problem in the field of finance and
insurance enriching the achievements of differential game research. This book can be used as a
reference book for non-cooperative differential game study for graduate students majored in
economic management science and engineering of institutions of higher learning.
