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010   $a3-319-79039-0
024 7 $a10.1007/978-3-319-79039-8
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035   $a(DE-He213)978-3-319-79039-8
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035   $a(PPN)227404300
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100   $a20180516d2018      u|         0
101 0 $aeng
135   $aurnn|008mamaa
181   $ctxt$2rdacontent
182   $cc$2rdamedia
183   $acr$2rdacarrier
200 13$aAn Introduction to Optimal Control of FBSDE with Incomplete Information /$fby Guangchen Wang, Zhen Wu, Jie Xiong
205   $a1st ed. 2018.
210  1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2018.
215   $a1 online resource (XI, 116 p.) 
225 1 $aSpringerBriefs in Mathematics,$x2191-8198
311   $a3-319-79038-2 
327   $aIntroduction -- 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.
330   $aThis book focuses on maximum principle and verification theorem for incomplete information forward-backward stochastic differential equations (FBSDEs) and their applications in linear-quadratic optimal controls and mathematical finance. Lots of interesting phenomena arising from the area of mathematical finance can be described by FBSDEs. Optimal control problems of FBSDEs are theoretically important and practically relevant. A standard assumption in the literature is that the stochastic noises in the model are completely observed. However, this is rarely the case in real world situations. The optimal control problems under complete information are studied extensively. Nevertheless, very little is known about these problems when the information is not complete. The aim of this book is to fill this gap. This book is written in a style suitable for graduate students and researchers in mathematics and engineering with basic knowledge of stochastic process, optimal control and mathematical finance.
410  0$aSpringerBriefs in Mathematics,$x2191-8198
606   $aCalculus of variations
606   $aProbabilities
606   $aActuarial science
606   $aCalculus of Variations and Optimal Control; Optimization$3https://scigraph.springernature.com/ontologies/product-market-codes/M26016
606   $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004
606   $aActuarial Sciences$3https://scigraph.springernature.com/ontologies/product-market-codes/M13080
615  0$aCalculus of variations.
615  0$aProbabilities.
615  0$aActuarial science.
615 14$aCalculus of Variations and Optimal Control; Optimization.
615 24$aProbability Theory and Stochastic Processes.
615 24$aActuarial Sciences.
676   $a532.5015192
700   $aWang$b Guangchen$4aut$4http://id.loc.gov/vocabulary/relators/aut$0768204
702   $aWu$b Zhen$4aut$4http://id.loc.gov/vocabulary/relators/aut
702   $aXiong$b Jie$4aut$4http://id.loc.gov/vocabulary/relators/aut
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910300102003321
996   $aAn Introduction to Optimal Control of FBSDE with Incomplete Information$92240076
997   $aUNINA