An Introduction to Optimal Control of FBSDE with Incomplete Information

Introduces 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 forward-backward stochastic differential equations Useful to practitioners in the fields of financial engineering and actuarial science as well as students

Inhalt
Introduction.- Filtering of BSDE and FBSDE.- Optimal Control of Fully Coupled FBSDE with Partial Information.- Optimal Control of FBSDE with Partially Observable Information.- LQ Optimal Control Models with Incomplete Information.- Appendix: BSDE and FBSDE.