A Nash-Type Fictitious Game Framework to Time-Inconsistent Stochastic Control Problems

DOI10.1137/19M1281885zbMath1490.93132arXiv1908.03728OpenAlexW3204354300MaRDI QIDQ5073515

Xinzhen Zhang, Binbin Si, Yuan-Hua Ni

Publication date: 3 May 2022

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

Full work available at URL: https://arxiv.org/abs/1908.03728

zbMATH Keywords

time inconsistencydynamic gametime-consistent policystochastic linear-quadratic problemprecommitted policy

Mathematics Subject Classification ID

Applications of game theory (91A80) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15)

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