Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model

DOI10.3934/mcrf.2023030zbMath1542.9341MaRDI QIDQ6588549

Ishak Alia, Mohamed Sofiane Alia

Publication date: 16 August 2024

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

zbMATH Keywords

linear-quadratic optimal controlnon-exponential discountingclosed-loop equilibrium strategynon-Markovian regime-switchingtime-inconsistent cost functional

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10) Jump processes on discrete state spaces (60J74)

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