The Resource INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION, (electronic book)
INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION, (electronic book)
Resource Information
The item INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION, (electronic book) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.This item is available to borrow from 1 library branch.
Resource Information
The item INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION, (electronic book) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Liverpool.
This item is available to borrow from 1 library branch.
- 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
- Language
- eng
- Extent
- 1 online resource.
- 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
- Isbn
- 9783319790398
- Label
- INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION
- Title
- INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION
- 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
- 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)
- 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)
- 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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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.liverpool.ac.uk/portal/INTRODUCTION-TO-OPTIMAL-CONTROL-OF-FBSDE-WITH/pwnZmXMAOos/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.liverpool.ac.uk/portal/INTRODUCTION-TO-OPTIMAL-CONTROL-OF-FBSDE-WITH/pwnZmXMAOos/">INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION, (electronic book)</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.liverpool.ac.uk/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.liverpool.ac.uk/">University of Liverpool</a></span></span></span></span></div>
