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Table of Contents
Intro; Preface; Contents; Acronyms; 1 Introduction; 1.1 Motivating Examples; 1.1.1 Wireless Communication; 1.1.2 Optimal Premium Problem; 1.1.3 Risk Minimizing Problem; 1.2 Control Models; 1.2.1 Partial Information Model; 1.2.2 Partially Observable Model; 1.3 An Overview; 1.4 Notes; 2 Filtering of BSDE and FBSDE; 2.1 Stochastic Filtering of Stochastic Processes; 2.2 Stochastic Filtering for BSDE; 2.3 Stochastic Filtering for FBSDE; 2.4 Notes; 3 Optimal Control of Fully Coupled FBSDE with Partial Information; 3.1 Stochastic Maximum Principle; 3.2 Verification Theorem
3.3 An LQ Optimal Control Problem3.4 A Cash Management Problem; 3.5 Notes; 4 Optimal Control of FBSDE with Partially Observable Information; 4.1 A Direct Method; 4.1.1 Some Prior Estimates; 4.1.2 Stochastic Maximum Principle; 4.2 A Malliavin Derivative Method; 4.3 A Recursive Utility Optimization Problem; 4.4 Notes; 5 LQ Optimal Control Models with Incomplete Information; 5.1 An LQ Model of FBSDE; 5.1.1 Preliminary Results; 5.1.2 Optimality Condition; 5.1.3 Filtering; 5.1.4 Feedback; 5.2 An LQ Model of BSDE; 5.3 An Optimal Premium Problem; 5.4 Notes; Appendix A BSDE and FBSDE; A.1 BSDE
A.2 FBSDEA.3 Malliavin Derivatives; A.4 Notes; References; Index
3.3 An LQ Optimal Control Problem3.4 A Cash Management Problem; 3.5 Notes; 4 Optimal Control of FBSDE with Partially Observable Information; 4.1 A Direct Method; 4.1.1 Some Prior Estimates; 4.1.2 Stochastic Maximum Principle; 4.2 A Malliavin Derivative Method; 4.3 A Recursive Utility Optimization Problem; 4.4 Notes; 5 LQ Optimal Control Models with Incomplete Information; 5.1 An LQ Model of FBSDE; 5.1.1 Preliminary Results; 5.1.2 Optimality Condition; 5.1.3 Filtering; 5.1.4 Feedback; 5.2 An LQ Model of BSDE; 5.3 An Optimal Premium Problem; 5.4 Notes; Appendix A BSDE and FBSDE; A.1 BSDE
A.2 FBSDEA.3 Malliavin Derivatives; A.4 Notes; References; Index