@inproceedings{d15bd684d51747f0993af2969b874f74,
title = "Optimal Control Approach for Rational Expectations Models with Longer Forward-Looking Time",
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.",
keywords = "Optimal control, Rational Expectations, Stochastic System",
author = "Tianfu Ma and Juanjuan Xu and Huanshui Zhang and Tamer Basar",
note = "Publisher Copyright: {\textcopyright} 2020 IEEE.; 16th IEEE International Conference on Control, Automation, Robotics and Vision, ICARCV 2020 ; Conference date: 13-12-2020 Through 15-12-2020",
year = "2020",
month = dec,
day = "13",
doi = "10.1109/ICARCV50220.2020.9305466",
language = "English (US)",
series = "16th IEEE International Conference on Control, Automation, Robotics and Vision, ICARCV 2020",
publisher = "Institute of Electrical and Electronics Engineers Inc.",
pages = "1041--1048",
booktitle = "16th IEEE International Conference on Control, Automation, Robotics and Vision, ICARCV 2020",
address = "United States",
}