标题:Solvability of General Linear Forward and Backward Stochastic Difference Equations
作者:Juanjuan Xu;Huanshui Zhang;Lihua Xie;
作者机构:[Juanjuan Xu;Huanshui Zhang;Lihua Xie]School of Control Science and Engineering,Shandong University;[Juanjuan Xu;Huanshui Zhang;Lihua Xie]School of El 更多
会议名称:第36届中国控制会议
来源:第36届中国控制会议论文集(B)
出版年:2017
关键词:Forward and backward stochastic difference equations;Stochastic optimal control;Riccati equation
摘要: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 condition for the existence of a unique solution to FBSDEs is given in terms of a Riccati equation. The result is applied to the lin...
资源类型:会议论文
原文链接:http://kns.cnki.net/kns/detail/detail.aspx?FileName=KZLL201707002048&DbName=CPFD2017
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