Explicit Solution to the FBSDEs With Asymmetric Information and Application

This brief is focused on the linear forward-backward stochastic differential equations with asymmetric information and multiplicative noises. The main contribution is that we give the explicit solution in terms of Riccati equations. The key lies in establishing the relationship among the forward process and the backward processes. As an application, we solved a kind of stochastic LQ control problems under the asymmetric information by using the derived explicit solution.