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Control of linear systems with rational expectations. The case of incomplete information. (English) Zbl 0765.90020

Summary: The problem of optimal control of linear economic systems with rational expectations and quadratic objective function is solved for the case of incomplete information. The case of complete information has been previously studied. In both problems the hypothesis of causality is not satisfied and, therefore, the standard techniques of control theory cannot be directly applied, though the method used is based on these techniques.

MSC:

91B62 Economic growth models
93E20 Optimal stochastic control
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References:

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