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Optimization Under Rational Expectations: A Framework of Fully Coupled Forward-Backward Stochastic Linear Quadratic Systems

Mingshang Hu, Shaolin Ji, Xiaole Xue. Optimization Under Rational Expectations: A Framework of Fully Coupled Forward-Backward Stochastic Linear Quadratic Systems. Math. Oper. Res., 48(3):1767-1790, August 2023. [doi]

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