JOURNAL OF SHANDONG UNIVERSITY(NATURAL SCIENCE) ›› 2022, Vol. 57 ›› Issue (11): 50-57.doi: 10.6040/j.issn.1671-9352.0.2022.458

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Optimal control of rational expectations model with multiplicative noise

CHANG Qing, QI Qing-yuan*, LIU Zhi-qiang   

  1. Institute of Complexity Science, School of Automation, Qingdao University, Qingdao 266071, Shandong, China
  • Published:2022-11-10

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Abstract: The optimal control of a rational expectations model with multiplicative noise is investigated. By using the convex variational method, the maximum principle is derived, and the necessary and sufficient solvability conditions are shown. By decoupling the forward and backward stochastic difference equations, the optimal control is derived. Finally, numerical example is given to show the effectiveness of the obtained results.

Key words: rational expectations model, multiplicative noise, maximum principle

CLC Number: 

  • O232
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