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

An Introduction to Optimal Control of FBSDE with Incomplete Information

Buch | Softcover
XI, 116 Seiten
2018 | 1st ed. 2018
Springer International Publishing (Verlag)
978-3-319-79038-1 (ISBN)
58,84 inkl. MwSt

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.

"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)

“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)

Erscheinungsdatum
Reihe/Serie SpringerBriefs in Mathematics
Zusatzinfo XI, 116 p.
Verlagsort Cham
Sprache englisch
Maße 155 x 235 mm
Gewicht 207 g
Themenwelt Mathematik / Informatik Mathematik Analysis
Mathematik / Informatik Mathematik Angewandte Mathematik
Schlagworte Backward Separation Approach • Backward Stochastic Differential Equation • Closed-form Optimal Solution • LQ Optimal Control • mathematical finance • optimal filtering • stochastic maximum principle • Verification Theorem
ISBN-10 3-319-79038-2 / 3319790382
ISBN-13 978-3-319-79038-1 / 9783319790381
Zustand Neuware
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