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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...
Autores principales: | , , |
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Lenguaje: | eng |
Publicado: |
Springer
2018
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Materias: | |
Acceso en línea: | https://dx.doi.org/10.1007/978-3-319-79039-8 http://cds.cern.ch/record/2622116 |