Optimization Under Rational Expectations: A Framework of Fully Coupled Forward-Backward Stochastic Linear Quadratic Systems (Q6121648)
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scientific article; zbMATH DE number 7809878
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimization Under Rational Expectations: A Framework of Fully Coupled Forward-Backward Stochastic Linear Quadratic Systems |
scientific article; zbMATH DE number 7809878 |
Statements
Optimization Under Rational Expectations: A Framework of Fully Coupled Forward-Backward Stochastic Linear Quadratic Systems (English)
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27 February 2024
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fully coupled forward-backward stochastic differential equation
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linear quadratic optimization control
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stochastic maximum principle
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completion-of-squares method
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