Optimal Control Approach for Rational Expectations Models with Longer Forward-Looking Time

Tianfu Ma, Juanjuan Xu, Huanshui Zhang, Tamer Basar

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This paper is concerned with the optimal control of rational expectations models in the general case of longer forward-looking time (d\geq 2). The main contribution is the necessary and sufficient condition for the solvability of the finite-horizon problem. In particular, explicit characterizations of the optimal solution and the optimal cost are given in terms of difference equations. The key technique is to solve the forward and backward stochastic difference equations (FBSDEs) obtained by the stochastic maximum principle.

Original languageEnglish (US)
Title of host publication16th IEEE International Conference on Control, Automation, Robotics and Vision, ICARCV 2020
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages1041-1048
Number of pages8
ISBN (Electronic)9781728177090
DOIs
StatePublished - Dec 13 2020
Event16th IEEE International Conference on Control, Automation, Robotics and Vision, ICARCV 2020 - Virtual, Shenzhen, China
Duration: Dec 13 2020Dec 15 2020

Publication series

Name16th IEEE International Conference on Control, Automation, Robotics and Vision, ICARCV 2020

Conference

Conference16th IEEE International Conference on Control, Automation, Robotics and Vision, ICARCV 2020
CountryChina
CityVirtual, Shenzhen
Period12/13/2012/15/20

Keywords

  • Optimal control
  • Rational Expectations
  • Stochastic System

ASJC Scopus subject areas

  • Artificial Intelligence
  • Computer Networks and Communications
  • Computer Science Applications
  • Computer Vision and Pattern Recognition
  • Control and Systems Engineering
  • Control and Optimization

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