  Pulsar timing array (PTA) experiments are becoming increasingly sensitive to
gravitational waves (GWs) in the nanohertz frequency range, where the main
astrophysical sources are supermassive black hole binaries (SMBHBs), which are
expected to form following galaxy mergers. Some of these individual SMBHBs may
power active galactic nuclei, and thus their binary parameters could be
obtained electromagnetically, which makes it possible to apply electromagnetic
(EM) information to aid the search for a GW signal in PTA data. In this work,
we investigate the effects of such an EM-informed search on binary detection
and parameter estimation by performing mock data analyses on simulated PTA
datasets. We find that by applying EM priors, the Bayes factor of some injected
signals with originally marginal or sub-threshold detectability (i.e., Bayes
factor $\sim 1$) can increase by a factor of a few to an order of magnitude,
and thus an EM-informed targeted search is able to find hints of a signal when
an uninformed search fails to find any. Additionally, by combining EM and GW
data, one can achieve an overall improvement in parameter estimation,
regardless of the source's sky location or GW frequency. We discuss the
implications for the multi-messenger studies of SMBHBs with PTAs.
