Solution to the forward and backward stochastic difference equations with asymmetric information and application

作者：

Highlights：

• Present the analytical solutions of the infinite horizon forward and backward stochastic difference equations.

• The additive noise and measurement packet dropout caused two different filtrations in the forward equation.

• Establish a non-homogenous relationship between the backward and the estimation of the forward stochastic process.

• The solution of the infinite horizon stochastic linear quadratic optimal control.

摘要

•Present the analytical solutions of the infinite horizon forward and backward stochastic difference equations.•The additive noise and measurement packet dropout caused two different filtrations in the forward equation.•Establish a non-homogenous relationship between the backward and the estimation of the forward stochastic process.•The solution of the infinite horizon stochastic linear quadratic optimal control.

论文关键词：Forward and backward stochastic difference equations,Analytical solution,Asymmetric information,Modified Riccati equation,Stochastic linear quadratic control problem

论文评审过程：Received 23 April 2020, Revised 2 July 2020, Accepted 2 August 2020, Available online 26 August 2020, Version of Record 26 August 2020.

论文官网地址：https://doi.org/10.1016/j.amc.2020.125594