Coverart for item
The Resource INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION, (electronic book)

INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION, (electronic book)

Label
INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION
Title
INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION
Creator
Contributor
Author
Subject
Language
eng
Summary
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
Member of
Cataloging source
YDX
http://library.link/vocab/creatorName
Wang, Guangchen
Dewey number
519.353
Index
no index present
LC call number
QA274.25
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Wu, Zhen
  • Xiong, Jie
Series statement
SpringerBriefs in mathematics
http://library.link/vocab/subjectName
Stochastic partial differential equations
Label
INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION, (electronic book)
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Intro; Preface; Contents; Acronyms; 1 Introduction; 1.1 Motivating Examples; 1.1.1 Wireless Communication; 1.1.2 Optimal Premium Problem; 1.1.3 Risk Minimizing Problem; 1.2 Control Models; 1.2.1 Partial Information Model; 1.2.2 Partially Observable Model; 1.3 An Overview; 1.4 Notes; 2 Filtering of BSDE and FBSDE; 2.1 Stochastic Filtering of Stochastic Processes; 2.2 Stochastic Filtering for BSDE; 2.3 Stochastic Filtering for FBSDE; 2.4 Notes; 3 Optimal Control of Fully Coupled FBSDE with Partial Information; 3.1 Stochastic Maximum Principle; 3.2 Verification Theorem
  • 3.3 An LQ Optimal Control Problem3.4 A Cash Management Problem; 3.5 Notes; 4 Optimal Control of FBSDE with Partially Observable Information; 4.1 A Direct Method; 4.1.1 Some Prior Estimates; 4.1.2 Stochastic Maximum Principle; 4.2 A Malliavin Derivative Method; 4.3 A Recursive Utility Optimization Problem; 4.4 Notes; 5 LQ Optimal Control Models with Incomplete Information; 5.1 An LQ Model of FBSDE; 5.1.1 Preliminary Results; 5.1.2 Optimality Condition; 5.1.3 Filtering; 5.1.4 Feedback; 5.2 An LQ Model of BSDE; 5.3 An Optimal Premium Problem; 5.4 Notes; Appendix A BSDE and FBSDE; A.1 BSDE
  • A.2 FBSDEA.3 Malliavin Derivatives; A.4 Notes; References; Index
Dimensions
unknown
Extent
1 online resource.
Form of item
online
Isbn
9783319790398
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Specific material designation
remote
System control number
  • on1037045019
  • (OCoLC)1037045019
Label
INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION, (electronic book)
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Intro; Preface; Contents; Acronyms; 1 Introduction; 1.1 Motivating Examples; 1.1.1 Wireless Communication; 1.1.2 Optimal Premium Problem; 1.1.3 Risk Minimizing Problem; 1.2 Control Models; 1.2.1 Partial Information Model; 1.2.2 Partially Observable Model; 1.3 An Overview; 1.4 Notes; 2 Filtering of BSDE and FBSDE; 2.1 Stochastic Filtering of Stochastic Processes; 2.2 Stochastic Filtering for BSDE; 2.3 Stochastic Filtering for FBSDE; 2.4 Notes; 3 Optimal Control of Fully Coupled FBSDE with Partial Information; 3.1 Stochastic Maximum Principle; 3.2 Verification Theorem
  • 3.3 An LQ Optimal Control Problem3.4 A Cash Management Problem; 3.5 Notes; 4 Optimal Control of FBSDE with Partially Observable Information; 4.1 A Direct Method; 4.1.1 Some Prior Estimates; 4.1.2 Stochastic Maximum Principle; 4.2 A Malliavin Derivative Method; 4.3 A Recursive Utility Optimization Problem; 4.4 Notes; 5 LQ Optimal Control Models with Incomplete Information; 5.1 An LQ Model of FBSDE; 5.1.1 Preliminary Results; 5.1.2 Optimality Condition; 5.1.3 Filtering; 5.1.4 Feedback; 5.2 An LQ Model of BSDE; 5.3 An Optimal Premium Problem; 5.4 Notes; Appendix A BSDE and FBSDE; A.1 BSDE
  • A.2 FBSDEA.3 Malliavin Derivatives; A.4 Notes; References; Index
Dimensions
unknown
Extent
1 online resource.
Form of item
online
Isbn
9783319790398
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Specific material designation
remote
System control number
  • on1037045019
  • (OCoLC)1037045019

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