Time-Inconsistent Recursive Stochastic Optimal Control Problems

DOI10.1137/16M1079415zbMath1386.93314arXiv1606.03330OpenAlexW2964169470MaRDI QIDQ4599725

Qingmeng Wei, Zhi-Yong Yu, Jiong-min Yong

Publication date: 4 January 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1606.03330

zbMATH Keywords

stochastic optimal controlstochastic differential gamesequilibrium strategytime-inconsistencyequilibrium Hamilton-Jacobi-Bellman equation

Mathematics Subject Classification ID

Differential games and control (49N70) Optimal stochastic control (93E20)

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