Equilibrium controls in time inconsistent stochastic linear quadratic problems (Q1987336): Difference between revisions

Consider time-inconsistent stochastic optimal control problems, where the decision maker's weighing may change over time. Here, linear quadratic problems in Markovian framework are taken into account. The control problem is studied within a game-theoretic framework, and time-consistent equilibrium solutions are considered. After the definition of different open-loop, closed-loop equilibrium pairs \((X^{\ast},u^{\ast})\) of trajectory \(X^{\ast}\) and open-loop/affine-linear feedback control \(u^{\ast}\), resp., corresponding characterizations are given involving certain first and second order equilibrium conditions.