Time-inconsistent optimal control problems and the equilibrium HJB equation
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Publication:1760184
DOI10.3934/mcrf.2012.2.271zbMath1251.93144arXiv1204.0568OpenAlexW2963151709MaRDI QIDQ1760184
Publication date: 13 November 2012
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1204.0568
forward-backward stochastic differential equationequilibrium Hamilton-Jacobi-Bellman equationequilibrium value functiontime-inconsistent optimal control problem
Hierarchical games (including Stackelberg games) (91A65) Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) PDEs in connection with control and optimization (35Q93)
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