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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978-3-319-79038-1The Author(s), under exclusive licence to Springer International Publishing AG, part of Springer Nat

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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 . and to those for FBSDEs in Section ..

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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.

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Book 2018rmation 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..

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Die vorsokratischen Philosopheno versions of the stochastic maximum principle for the characterization of the optimal control. To demonstrate the applicability, we work out an illustrative example within the framework of recursive utility and then solve it via the stochastic maximum principle and the stochastic filtering.

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Optimal Control of FBSDE with Partially Observable Information,o versions of the stochastic maximum principle for the characterization of the optimal control. To demonstrate the applicability, we work out an illustrative example within the framework of recursive utility and then solve it via the stochastic maximum principle and the stochastic filtering.