Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem

DOI10.1137/18M1177068zbMath1407.93433arXiv1802.03032OpenAlexW2914580576WikidataQ128427098 ScholiaQ128427098MaRDI QIDQ4622012

Krstić, Miroslav, Yuan-Hua Ni, Ji-Feng Zhang, Xun Li

Publication date: 8 February 2019

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

Full work available at URL: https://arxiv.org/abs/1802.03032

zbMATH Keywords

time inconsistencyequilibrium solutionmean-field optimal controlstochastic linear-quadratic optimal controlforward-backward stochastic difference equation

Mathematics Subject Classification ID

Feedback control (93B52) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic difference equations (39A50)

Related Items (9)

Near Optimality of Stochastic Control for Singularly Perturbed McKean--Vlasov Systems ⋮ Maximum principle for general partial information nonzero sum stochastic differential games and applications ⋮ A Nash-Type Fictitious Game Framework to Time-Inconsistent Stochastic Control Problems ⋮ Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem ⋮ Time-inconsistent stochastic LQ problem with regime switching ⋮ A robust time‐inconsistent linear‐quadratic problem ⋮ A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility ⋮ A solution method for heterogeneity involving present bias ⋮ Closed-Loop Equilibrium for Time-Inconsistent McKean--Vlasov Controlled Problem

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