Robust time-inconsistent stochastic control problems
type: Item
instance of: scholarly article
title: Robust time-inconsistent stochastic control problems
zbMATH Open document ID: 1401.93229
author: Chi Seng Pun
published in: Automatica
publication date: 2018-10-17T00:00:00Z
full work available at URL: https://hdl.handle.net/10356/89029
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93B35
Mathematics Subject Classification ID: 91A40
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 91A10
zbMATH DE Number: 6957835
zbMATH Keywords: stochastic control
zbMATH Keywords: robustness
zbMATH Keywords: time-inconsistent preference
zbMATH Keywords: state-dependence
zbMATH Keywords: Hamilton-Jacobi-Bellman-Isaacs equations
zbMATH Keywords: robust dynamic mean-variance portfolio
MaRDI profile type: Publication
OpenAlex ID: W2802519656
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DOI: 10.1016/J.AUTOMATICA.2018.04.038
description: scientific article; zbMATH DE number 6957835