Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps

DOI10.15559/22-VMSTA199zbMath1492.93193MaRDI QIDQ2672856

Farid Chighoub, Nour El Houda Bouaicha, Ayesha Sohail, Ishak Alia

Publication date: 13 June 2022

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

zbMATH Keywords

variational inequalitystochastic maximum principletime-inconsistencyequilibrium controlLQ control problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Jump processes on discrete state spaces (60J74)

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