Bibliograph

An Introduction to Optimal Control of FBSDE with Incomplete Information, by Guangchen Wang, Zhen Wu, Jie Xiong

Type

Label

An Introduction to Optimal Control of FBSDE with Incomplete Information, by Guangchen Wang, Zhen Wu, Jie Xiong

Language

eng

resource.imageBitDepth

Literary Form

non fiction

Main title

An Introduction to Optimal Control of FBSDE with Incomplete Information

Medium

electronic resource

Nature of contents

dictionaries

Oclc number

1037045019

Responsibility statement

by Guangchen Wang, Zhen Wu, Jie Xiong

Series statement

Springer eBooksSpringerBriefs in Mathematics,, 2191-8198Springer eBooks.

Summary

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.--, Provided by publisher

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

Contributor

Creator