Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications

DOI10.1016/j.cnsns.2023.107270zbMath1518.93155MaRDI QIDQ6163186

Zhun Gou, Jian-hao Kang, Nan-Jing Huang

Publication date: 9 June 2023

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

zbMATH Keywords

optimal controlrobustnessportfolio selectionequilibrium strategiesjump-diffusiontime-inconsistency

Mathematics Subject Classification ID

Applications of game theory (91A80) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Portfolio theory (91G10)

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