Photo by markuswinkler from unsplash
This brief is focused on the linear forward-backward stochastic differential equations with asymmetric information and multiplicative noises. The main contribution is that we give the explicit solution in terms of… Click to show full abstract
This brief is focused on the linear forward-backward stochastic differential equations with asymmetric information and multiplicative noises. The main contribution is that we give the explicit solution in terms of Riccati equations. The key lies in establishing the relationship among the forward process and the backward processes. As an application, we solved a kind of stochastic LQ control problems under the asymmetric information by using the derived explicit solution.
Keywords:
application;
explicit solution;
solution fbsdes;
asymmetric information
Journal Title: IEEE Transactions on Circuits and Systems II: Express Briefs
Year Published: 2022
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!
Journal Title: IEEE Transactions on Circuits and Systems II: Express Briefs
Year Published: 2022
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!