Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
From MaRDI portal
Publication:2329692
DOI10.3934/mcrf.2019018zbMath1426.49036arXiv1802.01080OpenAlexW2962859598WikidataQ128672998 ScholiaQ128672998MaRDI QIDQ2329692
Publication date: 18 October 2019
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.01080
time inconsistencyequilibrium controlsmean-field linear quadratic optimal control problemssystem of Riccati equations
Optimal feedback synthesis (49N35) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
Related Items
Mean-Field Type FBSDEs under Domination-Monotonicity Conditions and Application to LQ Problems, Non-exponential discounting portfolio management with habit formation, Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach, A Nash-Type Fictitious Game Framework to Time-Inconsistent Stochastic Control Problems, Time inconsistent asset-liability management with partial information, Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems, 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, A closed-loop saddle point for zero-sum linear-quadratic stochastic differential games with mean-field type, Closed-Loop Equilibrium for Time-Inconsistent McKean--Vlasov Controlled Problem, Mean-variance portfolio selection with non-negative state-dependent risk aversion
Cites Work
- A characterization of sub-game perfect equilibria for SDEs of mean-field type
- A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
- Deterministic time-inconsistent optimal control problems -- an essentially cooperative approach
- On time-inconsistent stochastic control in continuous time
- A deterministic linear quadratic time-inconsistent optimal control problem
- 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
- Stochastic maximum principle in the mean-field controls
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Partially observed time-inconsistency recursive optimization problem and application
- Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
- Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation
- Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations
- Time-Inconsistent Stochastic Linear--Quadratic Control
- Time-Consistent Portfolio Management
- 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
