03597nam 22006015 450 991030010200332120200706192346.03-319-79039-010.1007/978-3-319-79039-8(CKB)4100000004243903(DE-He213)978-3-319-79039-8(MiAaPQ)EBC5396657(PPN)258862688(PPN)227404300(EXLCZ)99410000000424390320180516d2018 u| 0engurnn|008mamaatxtrdacontentcrdamediacrrdacarrierAn Introduction to Optimal Control of FBSDE with Incomplete Information /by Guangchen Wang, Zhen Wu, Jie Xiong1st ed. 2018.Cham :Springer International Publishing :Imprint: Springer,2018.1 online resource (XI, 116 p.) SpringerBriefs in Mathematics,2191-81983-319-79038-2 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.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.SpringerBriefs in Mathematics,2191-8198Calculus of variationsProbabilitiesActuarial scienceCalculus of Variations and Optimal Control; Optimizationhttps://scigraph.springernature.com/ontologies/product-market-codes/M26016Probability Theory and Stochastic Processeshttps://scigraph.springernature.com/ontologies/product-market-codes/M27004Actuarial Scienceshttps://scigraph.springernature.com/ontologies/product-market-codes/M13080Calculus of variations.Probabilities.Actuarial science.Calculus of Variations and Optimal Control; Optimization.Probability Theory and Stochastic Processes.Actuarial Sciences.532.5015192Wang Guangchenauthttp://id.loc.gov/vocabulary/relators/aut768204Wu Zhenauthttp://id.loc.gov/vocabulary/relators/autXiong Jieauthttp://id.loc.gov/vocabulary/relators/autMiAaPQMiAaPQMiAaPQBOOK9910300102003321An Introduction to Optimal Control of FBSDE with Incomplete Information2240076UNINA