Closed-Loop Equilibrium for Time-Inconsistent McKean--Vlasov Controlled Problem
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Publication:5855520
DOI10.1137/20M1319796zbMath1461.93547arXiv2002.06952OpenAlexW3112642204MaRDI QIDQ5855520
Publication date: 18 March 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2002.06952
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Hamilton-Jacobi theories (49L99) Mean field games (aspects of game theory) (91A16)
Related Items (3)
Near Optimality of Stochastic Control for Singularly Perturbed McKean--Vlasov Systems ⋮ Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents ⋮ Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems
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