Titlebook: An Introduction to Optimal Control of FBSDE with Incomplete Information; Guangchen Wang,Zhen Wu,Jie Xiong Book 2018 The Author(s), under e

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書目名稱An Introduction to Optimal Control of FBSDE with Incomplete Information讀者反饋




書目名稱An Introduction to Optimal Control of FBSDE with Incomplete Information讀者反饋學(xué)科排名

思想上升

Filtering of BSDE and FBSDE, with incomplete information. We first state a theorem on the stochastic filtering of a general stochastic process. The proof of that result can be found in Liptser and Shiyayev [49], so we omit it here. Then, we apply this result to the stochastic filtering for the solutions to BSDEs in Section?. a

outskirts

Optimal Control of Fully Coupled FBSDE with Partial Information,e convex variation and the duality technique, we derive a stochastic maximum principle and two verification theorems for optimality of Problem A. As an application of the optimality conditions, we solve explicitly an LQ optimal control problem and a cash management problem.

Ancillary

Chivalrous

LQ Optimal Control Models with Incomplete Information,e previous chapters. We first consider this problem when the state is given by a linear FBSDE. After that we will specialize our results to the case when the state is governed by a BSDE only. In this case, explicit solution will be presented. Finally, we will apply our results to an optimal premium

gimmick

寬大

Introduction,akai [112] independently, who derived a linear stochastic partial differential equation (SPDE) satisfied by the unnormalized conditional density function of the signal. This SPDE is called the Duncan–Mortensen–Zakai equation, or, simply, Zakai’s equation. Unlike the Kalman–Bucy filtering, nonlinear

Servile

resilience

https://doi.org/10.1007/978-3-476-03507-3akai [112] independently, who derived a linear stochastic partial differential equation (SPDE) satisfied by the unnormalized conditional density function of the signal. This SPDE is called the Duncan–Mortensen–Zakai equation, or, simply, Zakai’s equation. Unlike the Kalman–Bucy filtering, nonlinear

一大塊

Guangchen Wang,Zhen Wu,Jie XiongIntroduces 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 for