An Introduction to Optimal Control of FBSDE with Incomplete Information

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 mathemat...

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Bibliographic Details
Main Author: Wang, Guangchen (Author)
Format: Electronic eBook
Language:English
Published: Cham : Springer International Publishing, 2018.
Edition:1st ed. 2018.
Series:SpringerBriefs in Mathematics,
Subjects:
Calculus of variations.
Probabilities.
Actuarial science.
ISBN:9783319790398
ISSN:2191-8198
Online Access: Get full text
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Table of Contents:
  • Introduction
  • Filtering of BSDE and FBSDE
  • Optimal Control of Fully Coupled FBSDE with Partial Information
  • Optimal Control of FBSDE with Partially Observable Information
  • LQ Optimal Control Models with Incomplete Information
  • Appendix: BSDE and FBSDE.

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