An Introduction to Optimal Control of Fbsde with Incomplete Information

ISBN-13: 9783319790381 / Angielski / Miękka / 2018 / 116 str.

Guangchen Wang; Zhen Wu; Jie Xiong

Opis

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.

Recenzje

"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)

Spis treści

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.