Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach

DOI10.3934/mcrf.2020020zbMath1461.93538OpenAlexW3012611253MaRDI QIDQ828998

Ishak Alia

Publication date: 5 May 2021

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

Full work available at URL: https://doi.org/10.3934/mcrf.2020020

zbMATH Keywords

stochastic controlbackward stochastic partial differential equationstime-inconsistencymean-variance problemequilibrium control

Mathematics Subject Classification ID

Applications of game theory (91A80) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (1)

Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems

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