Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems
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Publication:3382777
DOI10.1137/20M1377242zbMath1471.91517OpenAlexW3199773596MaRDI QIDQ3382777
Publication date: 22 September 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/20m1377242
random coefficientsclosed-loop equilibrium strategytime-inconsistent optimal controlBSPDEsintegral and pointwise characterizations
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Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs ⋮ Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications ⋮ Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
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