Optimization Under Rational Expectations: A Framework of Fully Coupled Forward-Backward Stochastic Linear Quadratic Systems

DOI10.1287/moor.2022.1319OpenAlexW4306941961MaRDI QIDQ6121648

Shaolin Ji, Ming Shang Hu, Xiaole Xue

Publication date: 27 February 2024

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.2022.1319

zbMATH Keywords

stochastic maximum principlefully coupled forward-backward stochastic differential equationcompletion-of-squares methodlinear quadratic optimization control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)