An Introduction to Optimal Control of FBSDE with Incomplete Information (Q4637496)
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scientific article; zbMATH DE number 6863972
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An Introduction to Optimal Control of FBSDE with Incomplete Information |
scientific article; zbMATH DE number 6863972 |
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An Introduction to Optimal Control of FBSDE with Incomplete Information (English)
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23 April 2018
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forward-backward stochastic differential equations
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backward stochastic differential equations
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Malliavin derivatives
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optimal control
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partial information
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recursive utility problems
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optimal premium problems
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incomplete information
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