Trabajos de Investigacion Operativa

, Volume 7, Issue 1, pp 51–61 | Cite as

Control of linear systems with rational expectations. The case of incomplete information

  • Emilio Cerda Tena


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.

Key words

Incomplete information Rational expectations Stochastic control 

AMS Classification



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Copyright information

© SEIO 1992

Authors and Affiliations

  • Emilio Cerda Tena
    • 1
  1. 1.Depto. de Análisis EconómicoUniversidad Complutense de MadridMadridEspaña

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