An Introduction to Optimal Control of FBSDE with Incomplete Information

An Introduction to Optimal Control of FBSDE with Incomplete Information

SpringerBriefs in Mathematics

von: Guangchen Wang, Zhen Wu, Jie Xiong

51,16 €

Verlag: Springer
Format: PDF
Veröffentl.: 16.05.2018
ISBN/EAN: 9783319790398
Sprache: englisch

DRM-geschütztes eBook, Sie benötigen z.B. Adobe Digital Editions und eine Adobe ID zum Lesen.


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.
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.
Introduces new backward separation approach with maximum principle and optimal filteringMany worked-out examples included to help the reader understand theories Provides a concise introduction to forward-backward stochastic differential equationsUseful to practitioners in the fields of financial engineering and actuarial science as well as students

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