LQ control of Itô stochastic system with asymmetric information (Q2122189)

Consider a stochastic linear control system based on a stochastic linear differential equation with two control inputs \(u_1(t),u_2(t)\) and multiplicative noises under general asymmetric information, as arising \(e.g.\) in stochastic games. Moreover, the associated expected quadratic cost in the control and state variables is defined by using positive semi-definite matrices. Minimizing the expected cost function, by applying the stochastic maximum principle, a system of forward and backward stochastic differential equations (FBSDEs) is obtained. The optimal controllers for the linear-quadratic problem are then obtained by means of Riccati equations.