General linear forward and backward Stochastic difference equations with applications

• المؤلفون الرئيسيون: Xu, Juanjuan, Zhang, Huanshi, Xie, Lihua
• مؤلفون آخرون: School of Electrical and Electronic Engineering
• التنسيق: مقال
• اللغة: English
• منشور في: 2020
• الموضوعات: Engineering::Electrical and electronic engineering; Forward and Backward Stochastic Difference Equations; Stochastic Optimal Control
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/137853
• المؤسسة: 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...