Equilibrium controls in time inconsistent stochastic linear quadratic problems
From MaRDI portal
Publication:1987336
DOI10.1007/s00245-018-9513-xzbMath1447.93379arXiv1802.01077OpenAlexW2963448903MaRDI QIDQ1987336
Publication date: 14 April 2020
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.01077
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Dynamic stochastic general equilibrium theory (91B51)
Related Items (14)
A Nash-Type Fictitious Game Framework to Time-Inconsistent Stochastic Control Problems ⋮ Backward Stochastic Volterra Integro-Differential Equations and Applications in Optimal Control Problems ⋮ Robust time-inconsistent stochastic linear-quadratic control with drift disturbance ⋮ Time inconsistent asset-liability management with partial information ⋮ Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients ⋮ A robust time‐inconsistent linear‐quadratic problem ⋮ Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems ⋮ Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies ⋮ On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems ⋮ Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems ⋮ Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems ⋮ Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions ⋮ Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I ⋮ Mean-variance portfolio selection with non-negative state-dependent risk aversion
Cites Work
- Unnamed Item
- A characterization of sub-game perfect equilibria for SDEs of mean-field type
- A theory of Markovian time-inconsistent stochastic control in discrete time
- On time-inconsistent stochastic control in continuous time
- A general stochastic maximum principle for SDEs of mean-field type
- Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems
- Investment and consumption without commitment
- Time-consistent mean-variance asset-liability management with random coefficients
- Time-inconsistent optimal control problems and the equilibrium HJB equation
- Partially observed time-inconsistency recursive optimization problem and application
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
- Open-Loop and Closed-Loop Solvabilities for Stochastic Linear Quadratic Optimal Control Problems
- Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations
- Time-Inconsistent Stochastic Linear--Quadratic Control
- Consistent Plans
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- Time-Inconsistent Recursive Stochastic Optimal Control Problems
- Time-Consistent Portfolio Management
- Linear Quadratic Stochastic Differential Games: Open-Loop and Closed-Loop Saddle Points
- Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
- Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- On the Existence of a Consistent Course of Action when Tastes are Changing
- Stochastic linear quadratic optimal control problems
This page was built for publication: Equilibrium controls in time inconsistent stochastic linear quadratic problems
