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An Introduction to Optimal Control of FBSDE with Incomplete Information
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Catalogue Information
Field name
Details
Dewey Class
515.64
Title
An Introduction to Optimal Control of FBSDE with Incomplete Information ([EBook]) / by Guangchen Wang, Zhen Wu, Jie Xiong.
Author
Wang, Guangchen
Added Personal Name
Wu, Zhen
author.
Xiong, Jie
author.
Other name(s)
SpringerLink (Online service)
Publication
Cham : : Springer International Publishing : : Imprint: Springer, , 2018.
Physical Details
XI, 116 p. : online resource.
Series
SpringerBriefs in Mathematics
2191-8198
ISBN
9783319790398
Summary 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.:
Contents 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 -- Appendix: BSDE and FBSDE.
System details note
Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users)
Internet Site
http://dx.doi.org/10.1007/978-3-319-79039-8
Links to Related Works
Subject References:
Actuarial science
.
Actuarial Sciences
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Calculus of variations
.
Calculus of variations and optimal control; optimization
.
Mathematics
.
Probabilities
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Probability theory and stochastic processes
.
Authors:
Wang, Guangchen
.
Wu, Zhen
.
Xiong, Jie
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Corporate Authors:
SpringerLink (Online service)
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Series:
SpringerBriefs in Mathematics
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Classification:
515.64
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