Solution to the forward and backward stochastic difference equations with asymmetric information and application

DOI10.1016/J.AMC.2020.125594MaRDI QIDQ2660811zbMATH OpenOpenAlexFDO

Authors Jingmei Liu, Xiao Liang, Juanjuan Xu

Publication date 31 March 2021

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2020.125594

zbMATH Keywords

analytical solutionasymmetric informationforward and backward stochastic difference equationsmodified Riccati equationstochastic linear quadratic control problem

Mathematics Subject Classification ID

Stochastic difference equations (39A50) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)

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Cited in

(3)

• LQ control of Itô stochastic system with asymmetric information
• Stability and error estimation of \(\theta\)-difference finite element method with C-Bézier basis
• Decentralized control of forward and backward stochastic difference system with nested asymmetric information

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