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SpringerBriefs in Mathematics

An Introduction to Optimal Control of FBSDE with Incomplete Information

Authors: Wang, Guangchen, Wu, Zhen, Xiong, Jie

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  • 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
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eBook 42,79 €
price for Spain (gross)
  • ISBN 978-3-319-79039-8
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 51,99 €
price for Spain (gross)
  • ISBN 978-3-319-79038-1
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
  • The final prices may differ from the prices shown due to specifics of VAT rules
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.


Reviews

“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)

Table of contents (5 chapters)

Table of contents (5 chapters)
  • Introduction

    Pages 1-25

    Wang, Guangchen (et al.)

  • Filtering of BSDE and FBSDE

    Pages 27-40

    Wang, Guangchen (et al.)

  • Optimal Control of Fully Coupled FBSDE with Partial Information

    Pages 41-58

    Wang, Guangchen (et al.)

  • Optimal Control of FBSDE with Partially Observable Information

    Pages 59-74

    Wang, Guangchen (et al.)

  • LQ Optimal Control Models with Incomplete Information

    Pages 75-96

    Wang, Guangchen (et al.)

Buy this book

eBook 42,79 €
price for Spain (gross)
  • ISBN 978-3-319-79039-8
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover 51,99 €
price for Spain (gross)
  • ISBN 978-3-319-79038-1
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
An Introduction to Optimal Control of FBSDE with Incomplete Information
Authors
Series Title
SpringerBriefs in Mathematics
Copyright
2018
Publisher
Springer International Publishing
Copyright Holder
The Author(s), under exclusive licence to Springer International Publishing AG, part of Springer Nature
eBook ISBN
978-3-319-79039-8
DOI
10.1007/978-3-319-79039-8
Softcover ISBN
978-3-319-79038-1
Series ISSN
2191-8198
Edition Number
1
Number of Pages
XI, 116
Topics