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An introduction to optimal control o...

Wang, Guangchen.

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An introduction to optimal control of FBSDE with incomplete information

Record Type:	Electronic resources : Monograph/item
Title/Author:	An introduction to optimal control of FBSDE with incomplete information/ by Guangchen Wang, Zhen Wu, Jie Xiong.
Author:	Wang, Guangchen.
other author:	Wu, Zhen.
Published:	Cham :Springer International Publishing : : 2018.,
Description:	xi, 116 p. :digital ;24 cm.
[NT 15003449]:	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.
Contained By:	Springer eBooks
Subject:	Stochastic partial differential equations. -
Online resource:	http://dx.doi.org/10.1007/978-3-319-79039-8
ISBN:	9783319790398

An introduction to optimal control of FBSDE with incomplete information
Wang, Guangchen.

An introduction to optimal control of FBSDE with incomplete information[electronic resource] /by Guangchen Wang, Zhen Wu, Jie Xiong. - Cham :Springer International Publishing :2018. - xi, 116 p. :digital ;24 cm. - SpringerBriefs in mathematics,2191-8198. - SpringerBriefs in mathematics..

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.

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.

ISBN: 9783319790398

Standard No.: 10.1007/978-3-319-79039-8doiSubjects--Topical Terms:

625093
Stochastic partial differential equations.

LC Class. No.: QA274.25 / .W364 2018

Dewey Class. No.: 519.353

An introduction to optimal control of FBSDE with incomplete information
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100 1 $a Wang, Guangchen. $3 3332567
245 1 3 $a An introduction to optimal control of FBSDE with incomplete information $h [electronic resource] / $c by Guangchen Wang, Zhen Wu, Jie Xiong.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2018.
300 $a xi, 116 p. : $b digital ; $c 24 cm.
490 1 $a SpringerBriefs in mathematics, $x 2191-8198
505 0 $a 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.
520 $a 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.
650 0 $a Stochastic partial differential equations. $3 625093
650 1 4 $a Mathematics. $3 515831
650 2 4 $a Calculus of Variations and Optimal Control; Optimization. $3 898674
650 2 4 $a Probability Theory and Stochastic Processes. $3 891080
650 2 4 $a Actuarial Sciences. $3 1619946
700 1 $a Wu, Zhen. $3 1022883
700 1 $a Xiong, Jie. $3 906722
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer eBooks
830 0 $a SpringerBriefs in mathematics. $3 1566700
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-79039-8
950 $a Mathematics and Statistics (Springer-11649)