Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions (Q5347269): Difference between revisions

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scientific article; zbMATH DE number 6722516

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English	Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions	scientific article; zbMATH DE number 6722516

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instance of

scholarly article

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title

Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions (English)

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zbMATH Open document ID

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Transactions of the American Mathematical Society

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publication date

23 May 2017

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full work available at URL

https://arxiv.org/abs/1304.3964

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Mathematics Subject Classification ID

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mean-field stochastic differential equation

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linear-quadratic optimal control

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time-inconsistency

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equilibrium solution

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Riccati equation

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Lyapunov equation

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\(N\)-person differential games

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author

Jiong-min Yong

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MaRDI profile type

MaRDI publication profile

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A theory of Markovian time-inconsistent stochastic control in discrete time

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MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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McKean–Vlasov Limit in Portfolio Optimization

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Mean-field backward stochastic differential equations and related partial differential equations

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The recursive approach to time inconsistency

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Control of McKean-Vlasov dynamics versus mean field games

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The golden rule when preferences are time inconsistent

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Investment and consumption without commitment

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Time-Consistent Portfolio Management

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Consistent Plans

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Time-inconsistent preferences in a general equilibrium model

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Time-Inconsistent Stochastic Linear--Quadratic Control

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Time-consistent policies

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Stochastic Differential Equations with Nonlocal Sample Dependence

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Golden Eggs and Hyperbolic Discounting

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Forward-backward stochastic differential equations and their applications

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Consumption and portfolio rules for time-inconsistent investors

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Non-constant discounting and differential games with random time horizon

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A deterministic linear quadratic time-inconsistent optimal control problem

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Deterministic time-inconsistent optimal control problems -- an essentially cooperative approach

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Time-inconsistent optimal control problems and the equilibrium HJB equation

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Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations

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Q4255599

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Sitelinks

Mathematics(1 entry)

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+Control of McKean-Vlasov dynamics versus mean field games
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+The golden rule when preferences are time inconsistent
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+Investment and consumption without commitment
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+Time-Consistent Portfolio Management
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+Consistent Plans
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+Time-inconsistent preferences in a general equilibrium model
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+Time-Inconsistent Stochastic Linear--Quadratic Control
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+Time-consistent policies
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+Stochastic Differential Equations with Nonlocal Sample Dependence
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+Golden Eggs and Hyperbolic Discounting
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+Forward-backward stochastic differential equations and their applications
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+Consumption and portfolio rules for time-inconsistent investors
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@@ Property / cites work @@
+Non-constant discounting and differential games with random time horizon
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@@ Property / cites work @@
+A deterministic linear quadratic time-inconsistent optimal control problem
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@@ Property / cites work @@
+Deterministic time-inconsistent optimal control problems -- an essentially cooperative approach
+Normal rank
@@ Property / cites work @@
+Time-inconsistent optimal control problems and the equilibrium HJB equation
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@@ Property / cites work @@
+Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations
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+Q4255599
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