General linear forward and backward Stochastic difference equations with applications

• Main Authors: Xu, Juanjuan, Zhang, Huanshi, Xie, Lihua
• Other Authors: School of Electrical and Electronic Engineering
• Format: Article
• Language: English
• Published: 2020
• Subjects: Engineering::Electrical and electronic engineering; Forward and Backward Stochastic Difference Equations; Stochastic Optimal Control
• Online Access: https://hdl.handle.net/10356/137853
• Institution: Nanyang Technological University

In this paper, we consider a class of general linear forward and, backward stochastic difference equations (FBSDEs) which are fully coupled. The necessary and sufficient conditions for the existence of a (unique) solution to FBSDEs are given in terms of a Riccati equation. Two kinds of stochastic LQ...