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Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs - MaRDI portal

Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs (Q6139329)

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scientific article; zbMATH DE number 7791018
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English
Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs
scientific article; zbMATH DE number 7791018

    Statements

    title
    Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs (English)
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    publication date
    18 January 2024
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    zbMATH Keywords
    linear-quadratic optimal control problem
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    time-inconsistent cost functional
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    generalized Riccati equation
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    indefinite control weight cost
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    closed-loop equilibrium strategy
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    cites work
    Q3258552
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    Q4742671
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    Q3878440
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    Consistent Plans
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    Q3849137
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    Q5465490
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    Q4589036
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    Q4255599
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    Identifiers

    Mathematics Subject Classification ID
    93E20
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    49N10
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    93B52
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    zbMATH DE Number
    7791018
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    OpenAlex ID
    W4387670139
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