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An Introduction to Optimal Control of FBSDE with Incomplete Information (SpringerBriefs in Mathematics) - Softcover
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“The book is well written and, as the authors mention in the preface, it is suitable for graduate students in mathematics and engineering with basic knowledge of stochastic process, optimal control, and mathematical finance. It is an interesting contribution to the literature on backward and forward-backward stochastic differential equations ... .” (Sorin-Mihai Grad, zbMATH 1400.49001, 2019)
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An Introduction to Optimal Control of FBSDE with Incomplete Information (eng)
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An Introduction to Optimal Control of FBSDE with Incomplete Information
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Springer, Berlin, Springer, 2018
ISBN 10: 3319790382
ISBN 13: 9783319790381
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 116 pp. Englisch. Seller Inventory # 9783319790381
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An Introduction to Optimal Control of FBSDE with Incomplete Information (SpringerBriefs in Mathematics)
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An Introduction to Optimal Control of FBSDE with Incomplete Information (SpringerBriefs in Mathematics)
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An Introduction to Optimal Control of FBSDE with Incomplete Information
Published by
Springer, Berlin, Springer, 2018
ISBN 10: 3319790382
ISBN 13: 9783319790381
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Taschenbuch
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Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Seller Inventory # 9783319790381
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An Introduction to Optimal Control of FBSDE with Incomplete Information (SpringerBriefs in Mathematics)
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An Introduction to Optimal Control of Fbsde With Incomplete Information
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Paperback. Condition: Brand New. 128 pages. 9.25x6.10x0.32 inches. In Stock. Seller Inventory # 3319790382
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An Introduction to Optimal Control of FBSDE with Incomplete Information
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Springer International Publishing, 2018
ISBN 10: 3319790382
ISBN 13: 9783319790381
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Introduces new backward separation approach with maximum principle and optimal filteringMany worked-out examples included to help the reader understand theories Provides a concise introduction to forward-ba. Seller Inventory # 220295285
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