An Introduction To Optimal Control Of Fbsde With Incomplete Information
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An Introduction To Optimal Control Of Fbsde With Incomplete Information
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Author : Guangchen Wang
language : en
Publisher: Springer
Release Date : 2018-05-16
An Introduction To Optimal Control Of Fbsde With Incomplete Information written by Guangchen Wang and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-16 with Mathematics categories.
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 mathematical finance can be described by FBSDEs. Optimal control problems of FBSDEs are theoretically important and practically relevant. A standard assumption in the literature is that the stochastic noises in the model are completely observed. However, this is rarely the case in real world situations. The optimal control problems under complete information are studied extensively. Nevertheless, very little is known about these problems when the information is not complete. The aim of this book is to fill this gap. This book is written in a style suitable for graduate students and researchers in mathematics and engineering with basic knowledge of stochastic process, optimal control and mathematical finance.
Mathematical Control Theory For Stochastic Partial Differential Equations
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Author : Qi Lü
language : en
Publisher: Springer Nature
Release Date : 2021-09-17
Mathematical Control Theory For Stochastic Partial Differential Equations written by Qi Lü and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-09-17 with Science categories.
This is the first book to systematically present control theory for stochastic distributed parameter systems, a comparatively new branch of mathematical control theory. The new phenomena and difficulties arising in the study of controllability and optimal control problems for this type of system are explained in detail. Interestingly enough, one has to develop new mathematical tools to solve some problems in this field, such as the global Carleman estimate for stochastic partial differential equations and the stochastic transposition method for backward stochastic evolution equations. In a certain sense, the stochastic distributed parameter control system is the most general control system in the context of classical physics. Accordingly, studying this field may also yield valuable insights into quantum control systems. A basic grasp of functional analysis, partial differential equations, and control theory for deterministic systems is the only prerequisite for reading this book.
Contemporary Quantitative Finance
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Author : Carl Chiarella
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-07-23
Contemporary Quantitative Finance written by Carl Chiarella and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-07-23 with Mathematics categories.
This volume contains a collection of papers dedicated to Professor Eckhard Platen to celebrate his 60th birthday, which occurred in 2009. The contributions have been written by a number of his colleagues and co-authors. All papers have been - viewed and presented as keynote talks at the international conference “Quantitative Methods in Finance” (QMF) in Sydney in December 2009. The QMF Conference Series was initiated by Eckhard Platen in 1993 when he was at the Australian - tional University (ANU) in Canberra. Since joining UTS in 1997 the conference came to be organised on a much larger scale and has grown to become a signi?cant international event in quantitative ?nance. Professor Platen has held the Chair of Quantitative Finance at the University of Technology, Sydney (UTS) jointly in the Faculties of Business and Science since 1997. Prior to this appointment, he was the Founding Head of the Centre for Fin- cial Mathematics at the Institute of Advanced Studies at ANU, a position to which he was appointed in 1994. Eckhard completed a PhD in Mathematics at the Technical University in Dresden in 1975 and in 1985 obtained his Doctor of Science degree (Habilitation degree in the German system) from the Academy of Sciences in Berlin where he headed the Stochastics group at the Weierstrass Institute.
Optimal Control With Incomplete State Information
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Author :
language : en
Publisher:
Release Date : 1973
Optimal Control With Incomplete State Information written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1973 with categories.
Optimal Control With Information Pattern Constraints
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Author : Șerban Sabău
language : en
Publisher:
Release Date : 2011
Optimal Control With Information Pattern Constraints written by Șerban Sabău and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Optimal Control Of Systems Governed By Partial Differential Equations
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Author :
language : de
Publisher:
Release Date : 1971
Optimal Control Of Systems Governed By Partial Differential Equations written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1971 with categories.
A Survey Of Methods For The Optimal Control Of Systems Governed By Partial Differential Equations
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Author : Peter John Harley
language : en
Publisher:
Release Date : 1972
A Survey Of Methods For The Optimal Control Of Systems Governed By Partial Differential Equations written by Peter John Harley and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1972 with categories.
Optimal Control
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Author : Mathematisches Forschungsinstitut
language : de
Publisher:
Release Date : 1991
Optimal Control written by Mathematisches Forschungsinstitut and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991 with categories.
Optimal Control Systems
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Author : Aleksandr Aronovic Feldbaum
language : it
Publisher:
Release Date : 1965
Optimal Control Systems written by Aleksandr Aronovic Feldbaum and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1965 with categories.
On Optimal Control Problems Having Tabulated State Constraint Data
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Author : John Frederick Hauer
language : en
Publisher:
Release Date : 1968
On Optimal Control Problems Having Tabulated State Constraint Data written by John Frederick Hauer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1968 with Automatic control categories.