An Introduction to Optimal Control of FBSDE with Incomplete Information

Language: English

Published by Springer, Berlin, Springer, 2018

3319790382 / 9783319790381

Series: Book 108 of 155 - SpringerBriefs in Mathematics

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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

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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

Title
An Introduction to Optimal Control of FBSDE with Incomplete Information
Author
Guangchen Wang
Publisher
Springer, Berlin, Springer
Publication year
2018
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3319790382
ISBN 13
9783319790381
Item weight
207 grams
Dimensions
236x156x8 mm
Series
Book 108 of 155: SpringerBriefs in Mathematics

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

Shipping rates from Germany to U.S.A.

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BuchWeltWeit Ludwig Meier e.K.

Germany