عنوان

An introduction to optimal control of FBSDE with incomplete information /

(Number (ISBN

3319790390

(Number (ISBN

9783319790398

Erroneous ISBN

3319790382

Erroneous ISBN

9783319790381

Title Proper

An introduction to optimal control of FBSDE with incomplete information /

General Material Designation

[Book]

First Statement of Responsibility

Guangchen Wang, Zhen Wu, Jie Xiong.

Place of Publication, Distribution, etc.

Cham, Switzerland :

Name of Publisher, Distributor, etc.

Springer,

Date of Publication, Distribution, etc.

[2018]

Specific Material Designation and Extent of Item

1 online resource

Series Title

SpringerBriefs in mathematics

Text of Note

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

Text of Note

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.

Source for Acquisition/Subscription Address

Springer Nature

Stock Number

com.springer.onix.9783319790398

International Standard Book Number

9783319790381

Parallel Title

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

Number

Edition

Class number

Wang, Guangchen

Wu, Zhen

Xiong, Jie

Date of Transaction

20200823114101.0

Cataloguing Rules (Descriptive Conventions))

pn

Electronic name

[Book]

Y