Introduction to Optimal Control of FBSDE with Incomplete Information

Häftad, Engelska, 2018

Del i serien SpringerBriefs in Mathematics

658 kr

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2018-05-25
Mått:155 x 235 x undefined mm
Format:Häftad
Språk:Engelska
Serie:SpringerBriefs in Mathematics
Antal sidor:116
Förlag:Springer International Publishing AG
ISBN:9783319790381

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Recensioner i media

“The book is well written and, as the authors mention in the preface, it is suitable for graduate students in mathematics and engineering with basic knowledge of stochastic process, optimal control, and mathematical finance. It is an interesting contribution to the literature on backward and forward-backward stochastic differential equations … .” (Sorin-Mihai Grad, zbMATH 1400.49001, 2019)

Innehållsförteckning

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.