An Introduction to Optimal Control of FBSDE with Incomplete Information
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Beschreibung
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
Autor*in
Guangchen Wang
Themen in »An Introduction to Optimal Control of FBSDE with Incomplete Information«
Backward Separation Approach Backward Stochastic Differential Equation Optimal Filtering LQ Optimal Control Stochastic Maximum Principle Closed-form Optimal Solution Mathematical Finance Verification Theorem
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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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