Overview
- Introduces new backward separation approach with maximum principle and optimal filtering
- Many worked-out examples included to help the reader understand theories
- Provides a concise introduction to forward-backward stochastic differential equations
- Useful to practitioners in the fields of financial engineering and actuarial science as well as students
Part of the book series: SpringerBriefs in Mathematics (BRIEFSMATH)
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Table of contents (5 chapters)
Keywords
About this book
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.
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Bibliographic Information
Book Title: An Introduction to Optimal Control of FBSDE with Incomplete Information
Authors: Guangchen Wang, Zhen Wu, Jie Xiong
Series Title: SpringerBriefs in Mathematics
DOI: https://doi.org/10.1007/978-3-319-79039-8
Publisher: Springer Cham
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: The Author(s), under exclusive licence to Springer International Publishing AG, part of Springer Nature 2018
Softcover ISBN: 978-3-319-79038-1Published: 25 May 2018
eBook ISBN: 978-3-319-79039-8Published: 16 May 2018
Series ISSN: 2191-8198
Series E-ISSN: 2191-8201
Edition Number: 1
Number of Pages: XI, 116
Topics: Calculus of Variations and Optimal Control; Optimization, Probability Theory and Stochastic Processes, Actuarial Sciences