An Introduction to Optimal Control of FBSDE with Incomplete Information / Guangchen Wang, Zhen Wu, Jie Xiong

• Autore: Wang, Guangchen
• Pubblicazione: Cham, : Springer, 2018
• Titolo uniforme: An Introduction to Optimal Control of FBSDE with Incomplete Information
• Descrizione fisica: xi, 116 p. ; 24 cm
• Soggetto topico: 93E20 - Optimal stochastic control [MSC 2020]; 60H10 - Stochastic ordinary differential equations [MSC 2020]; 60G35 - Signal detection and filtering (aspects of stochastic processes) [MSC 2020]; 93E11 - Filtering in stochastic control theory [MSC 2020]; 49N10 - Linear-quadratic optimal control problems [MSC 2020]; 91G80 - Financial applications of other theories [MSC 2020]
• Soggetto non controllato: Backward Separation Approach; Backward Stochastic Differential Equation; Closed-form Optimal Solution; LQ Optimal Control; Mathematical Finance; Optimal Filtering; Stochastic Maximum Principle; Verification Theorem
• Altri autori: Wu, Zhen Xiong, Jie
• Titolo autorizzato: Introduction to Optimal Control of FBSDE with Incomplete Information
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: VAN0124566
• Lo trovi qui: Univ. Vanvitelli
• Localizzazioni e accesso elettronico: http://doi.org/10.1007/978-3-319-79039-8
• Serie: SpringerBriefs in mathematics Berlin [etc.] . -Springer