Optimal controls for forward-backward stochastic differential equations: time-inconsistency and time-consistent solutions
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Publication:6597805
DOI10.1016/j.matpur.2024.103603zbMATH Open1546.9382MaRDI QIDQ6597805
Jiong-min Yong, Hanxiao Wang, Chao Zhou
Publication date: 4 September 2024
Published in: Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)
equilibrium strategybackward stochastic Volterra integral equationequilibrium Hamilton-Jacobi-Bellman equationtime-inconsistent optimal control problemcontrolled forward-backward stochastic differential equation
Hierarchical games (including Stackelberg games) (91A65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Volterra integral equations (45D05) Stochastic integral equations (60H20) Second-order parabolic equations (35K10) Hamilton-Jacobi equations in optimal control and differential games (49L12)
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