General linear forward and backward Stochastic difference equations with applications

General linear forward and backward Stochastic difference equations with applications

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...

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Bibliographic Details
Main Authors: Xu, Juanjuan, Zhang, Huanshi, Xie, Lihua
Other Authors: School of Electrical and Electronic Engineering
Format: Journal 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

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