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Introduction to Optimal Control of FBSDE with Incomplete Information

Bag om 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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783319790381
  • Indbinding:
  • Paperback
  • Sideantal:
  • 116
  • Udgivet:
  • 25. maj 2018
  • Udgave:
  • 12018
  • Vægt:
  • 209 g.
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Beskrivelse af 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.

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