عنوان

An introduction to optimal control of FBSDE with incomplete information /

3319790390

9783319790398

3319790382

9783319790381

An introduction to optimal control of FBSDE with incomplete information /

[Book]

Guangchen Wang, Zhen Wu, Jie Xiong.

Cham, Switzerland :

Springer,

[2018]

1 online resource

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.

0

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.

Springer Nature

com.springer.onix.9783319790398

9783319790381

Introduction to optimal control of forward-backward stochastic differential equations with incomplete information

Stochastic partial differential equations.

Calculus of variations.

Insurance & actuarial studies.

MATHEMATICS-- Applied.

MATHEMATICS-- Probability & Statistics-- General.

Probability & statistics.

Stochastic partial differential equations.

MAT-- 003000

MAT-- 029000

PBKQ

PBU

Wang, Guangchen

Wu, Zhen

Xiong, Jie

20200823114101.0

pn

[Book]

Y