عنوان

An introduction to optimal control of FBSDE with incomplete information /

شابک

3319790390

شابک

9783319790398

شابک اشتباه

3319790382

شابک اشتباه

9783319790381

عنوان اصلي

An introduction to optimal control of FBSDE with incomplete information /

نام عام مواد

[Book]

نام نخستين پديدآور

Guangchen Wang, Zhen Wu, Jie Xiong.

محل نشرو پخش و غیره

Cham, Switzerland :

نام ناشر، پخش کننده و غيره

Springer,

تاریخ نشرو بخش و غیره

[2018]

نام خاص و کميت اثر

1 online resource

عنوان فروست

SpringerBriefs in mathematics

متن يادداشت

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.

بدون عنوان

0

متن يادداشت

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.

منبع سفارش / آدرس اشتراک

Springer Nature

شماره انبار

com.springer.onix.9783319790398

شماره استاندارد بين المللي کتاب و موسيقي

9783319790381

عنوان اصلي به زبان ديگر

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

موضوع مستند نشده

Stochastic partial differential equations.

موضوع مستند نشده

Calculus of variations.

موضوع مستند نشده

Insurance & actuarial studies.

موضوع مستند نشده

MATHEMATICS-- Applied.

موضوع مستند نشده

MATHEMATICS-- Probability & Statistics-- General.

موضوع مستند نشده

Probability & statistics.

موضوع مستند نشده

Stochastic partial differential equations.

موضوع مستند نشده

MAT-- 003000

موضوع مستند نشده

MAT-- 029000

موضوع مستند نشده

PBKQ

موضوع مستند نشده

PBU

شماره

ويراست

شماره رده

مستند نام اشخاص تاييد نشده

Wang, Guangchen

مستند نام اشخاص تاييد نشده

Wu, Zhen

مستند نام اشخاص تاييد نشده

Xiong, Jie

تاريخ عمليات

20200823114101.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y