Explicit Solution to the FBSDEs With Asymmetric Information and Application
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DOI: 10.1109/tcsii.2022.3159708
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… read more here.
Keywords: application; explicit solution; solution fbsdes; asymmetric information ... See more keywords