Solution to the FBSDEs with asymmetric information

This paper study a class of finite-time forward and backward stochastic difference equations (FBSDEs) with asymmetric information which means that there exists two kinds of conditional expectations with respect to two different filterations. And the filterations are caused respectively by the additive noise and the measurement packet dropout. By establishing non-homogenous relationship between the backward stochastic process and the estimation of the forward stochastic process, we give the analytical solutions of the FBSDEs with asymmetric information.