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 forwardbackward stochastic differential equations (FBSDEs) and their applications in linearquadratic 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 forwardbackward stochastic differential equations (FBSDEs) and their applications in linearquadratic 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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