An Introduction to Optimal Control of FBSDE with Incomplete Information

• 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: 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...

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.