Equilibrium Controls in Time Inconsistent Stochastic Linear Quadratic Problems
نویسندگان
چکیده
منابع مشابه
Time-Inconsistent Stochastic Linear-Quadratic Control
Abstract. In this paper, we formulate a general time-inconsistent stochastic linear–quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the objective functional. We define an equilibrium, instead of optimal, solution within the class of open-loop controls, and derive a sufficient condition...
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ژورنال
عنوان ژورنال: Applied Mathematics & Optimization
سال: 2018
ISSN: 0095-4616,1432-0606
DOI: 10.1007/s00245-018-9513-x