Abstract
This paper is concerned with the linear quadratic decentralized control of forward and backward stochastic difference system (FBSDS) with multiplicative noises and nested asymmetric information. The main contribution is to give the equivalent condition for the solvability of the problem and the explicit decentralized optimal controllers in terms of Riccati equations. The key technology is solving the forward and backward stochastic difference equations with partial information derived from stochastic maximum principle.
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