Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs
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Publication:6139329
DOI10.1007/s11425-022-2106-6OpenAlexW4387670139MaRDI QIDQ6139329
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Publication date: 18 January 2024
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-022-2106-6
generalized Riccati equationlinear-quadratic optimal control problemclosed-loop equilibrium strategyindefinite control weight costtime-inconsistent cost functional
Feedback control (93B52) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
Cites Work
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