An Introduction to Optimal Control of FBSDE with Incomplete Information

• Main Authors: Wang, Guangchen (Author, 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)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2018.
• Edition: 1st ed. 2018.
• Series: SpringerBriefs in Mathematics,
• Subjects: Calculus of variations.; Probabilities.; Actuarial science.; Calculus of Variations and Optimal Control; Optimization.; Probability Theory and Stochastic Processes.; Actuarial Sciences.

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...

Table of Contents:

• 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.