Optimization under rational expectations : a framework of fully coupled forward-backward stochastic linear quadratic systems
Mingshang Hu, Shaolin Ji, Xiaole Xue
| Year of publication: |
2023
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|---|---|
| Authors: | Hu, Mingshang ; Ji, Shaolin ; Xue, Xiaole |
| Published in: |
Mathematics of operations research. - Hanover, Md. : INFORMS, ISSN 1526-5471, ZDB-ID 2004273-5. - Vol. 48.2023, 3, p. 1767-1790
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| Subject: | completion-of-squares method | fully coupled forward-backward stochastic differential equation | linear quadratic optimization control | stochastic maximum principle | Stochastischer Prozess | Stochastic process | Mathematische Optimierung | Mathematical programming | Rationale Erwartung | Rational expectations | Analysis | Mathematical analysis | Kontrolltheorie | Control theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2022.1319 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014329362