Partially observed time-inconsistent stochastic linear-quadratic control with random jumps

DOI10.1002/OCA.2343MaRDI QIDQ4563358zbMATH OpenOpenAlexFDO

Authors Zhen Wu, Yi Zhuang

Publication date 31 May 2018

Published in Optimal Control Applications \& Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/oca.2343

zbMATH Keywords

forward backward stochastic differential equationlinear quadratic optimal controlpartial informationrandom jumptime inconsistency

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Recommendations

• Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
• The maximum principle in time-inconsistent LQ equilibrium control problem for jump diffusions
• Equilibrium controls in time inconsistent stochastic linear quadratic problems
• Time-inconsistent stochastic linear-quadratic control
• Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation

Cited in

(12)

• Stochastic maximum principle for partially observed optimal control problems of general McKean-Vlasov differential equations
• A general linear quadratic stochastic control and information value
• Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets
• Partially observed time-inconsistency recursive optimization problem and application
• Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
• Time-inconsistent stochastic linear-quadratic control
• Necessary conditions for partially observed optimal control of general McKean–Vlasov stochastic differential equations with jumps
• Time-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumps
• The maximum principle in time-inconsistent LQ equilibrium control problem for jump diffusions
• Partial Information Linear Quadratic Control for Jump Diffusions
• Time-inconsistent LQ games for large-population systems and applications
• Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model

This page was built for publication: Partially observed time-inconsistent stochastic linear-quadratic control with random jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4563358)