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A linear-quadratic optimal control problem of forward-backward stochastic differential equations with partial information

Release time:2019-04-14|Hits:

Affiliation of Author(s):控制科学与工程学院

Journal:IEEE Transactions on Automatic Control

All the Authors:Wu Zhen

First Author:wangguangchen

Indexed by:Unit Twenty Basic Research

Document Code:lw-168160

Volume:60

Issue:11

Page Number:2904

Translation or Not:no

Date of Publication:2015-11-01

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Leader–follower stochastic differential game with asymmetric information and applications
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Arrow sufficient conditions for optimality of fully-coupled forward-backward stochastic differential equations with applications to finance

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