An Introduction to Optimal Control of FBSDE with Incomplete Information

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 mathemat...

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Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς: Wang, Guangchen (Συγγραφέας, http://id.loc.gov/vocabulary/relators/aut), Wu, Zhen (http://id.loc.gov/vocabulary/relators/aut), Xiong, Jie (http://id.loc.gov/vocabulary/relators/aut)
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2018.
Έκδοση:1st ed. 2018.
Σειρά:SpringerBriefs in Mathematics,
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
Πίνακας περιεχομένων:
  • 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.