Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model (Q6588549)
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scientific article; zbMATH DE number 7897757
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model |
scientific article; zbMATH DE number 7897757 |
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Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model (English)
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16 August 2024
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linear-quadratic optimal control
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time-inconsistent cost functional
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non-exponential discounting
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closed-loop equilibrium strategy
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non-Markovian regime-switching
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