INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION
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The work INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION represents a distinct intellectual or artistic creation found in University of Liverpool. This resource is a combination of several types including: Work, Language Material, Books.
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INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION
Resource Information
The work INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION represents a distinct intellectual or artistic creation found in University of Liverpool. This resource is a combination of several types including: Work, Language Material, Books.
- Label
- 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
- Dewey number
- 519.353
- Index
- no index present
- LC call number
- QA274.25
- Literary form
- non fiction
- Nature of contents
- dictionaries
- Series statement
- SpringerBriefs in mathematics
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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/resource/wUsaG7V-CUc/" typeof="CreativeWork http://bibfra.me/vocab/lite/Work"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.liverpool.ac.uk/resource/wUsaG7V-CUc/">INTRODUCTION TO OPTIMAL CONTROL OF FBSDE WITH INCOMPLETE INFORMATION</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>
