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An Introduction to Optimal Control of FBSDE with Incomplete Information

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	An Introduction to Optimal Control of FBSDE with Incomplete Information/ by Guangchen Wang, Zhen Wu, Jie Xiong.
作者:	Wang, Guangchen.
其他作者:	Wu, Zhen.
面頁冊數:	XI, 116 p.online resource. :
Contained By:	Springer Nature eBook
標題:	Calculus of variations. -
電子資源:	https://doi.org/10.1007/978-3-319-79039-8
ISBN:	9783319790398

An Introduction to Optimal Control of FBSDE with Incomplete Information
Wang, Guangchen.

An Introduction to Optimal Control of FBSDE with Incomplete Information[electronic resource] /by Guangchen Wang, Zhen Wu, Jie Xiong. - 1st ed. 2018. - XI, 116 p.online resource. - SpringerBriefs in Mathematics,2191-8198. - SpringerBriefs in Mathematics,.

Introduction -- Filtering of BSDE and FBSDE -- Optimal Control of Fully Coupled FBSDE with Partial Information -- Optimal Control of FBSDE with Partially Observable Information -- LQ Optimal Control Models with Incomplete Information -- Appendix: BSDE and FBSDE.

This book focuses on maximum principle and verification theorem for incomplete information forward-backward stochastic differential equations (FBSDEs) and their applications in linear-quadratic optimal controls and mathematical finance. Lots of interesting phenomena arising from the area of mathematical finance can be described by FBSDEs. Optimal control problems of FBSDEs are theoretically important and practically relevant. A standard assumption in the literature is that the stochastic noises in the model are completely observed. However, this is rarely the case in real world situations. The optimal control problems under complete information are studied extensively. Nevertheless, very little is known about these problems when the information is not complete. The aim of this book is to fill this gap. This book is written in a style suitable for graduate students and researchers in mathematics and engineering with basic knowledge of stochastic process, optimal control and mathematical finance.

ISBN: 9783319790398

Standard No.: 10.1007/978-3-319-79039-8doiSubjects--Topical Terms:

527927
Calculus of variations.

LC Class. No.: QA315-316

Dewey Class. No.: 515.64

An Introduction to Optimal Control of FBSDE with Incomplete Information
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