Decentralized control of forward and backward stochastic difference system with nested asymmetric information

Shen Zhang, Juanjuan Xu and Huanshui Zhang

Applied Mathematics and Computation, 2024, vol. 478, issue C

Abstract: This paper is concerned with the linear quadratic decentralized control of forward and backward stochastic difference system (FBSDS) with multiplicative noises and nested asymmetric information. The main contribution is to give the equivalent condition for the solvability of the problem and the explicit decentralized optimal controllers in terms of Riccati equations. The key technology is solving the forward and backward stochastic difference equations with partial information derived from stochastic maximum principle.

Keywords: Forward and backward stochastic difference system; Nested asymmetric information; Decentralized control; Optimal control; Riccati equation (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:478:y:2024:i:c:s0096300324002959

DOI: 10.1016/j.amc.2024.128834

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