Robust time-inconsistent stochastic control problems
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Publication:1797115
DOI10.1016/j.automatica.2018.04.038zbMath1401.93229OpenAlexW2802519656MaRDI QIDQ1797115
Publication date: 17 October 2018
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://hdl.handle.net/10356/89029
robustnessstochastic controlstate-dependenceHamilton-Jacobi-Bellman-Isaacs equationsrobust dynamic mean-variance portfoliotime-inconsistent preference
Sensitivity (robustness) (93B35) Noncooperative games (91A10) Dynamic programming in optimal control and differential games (49L20) Other game-theoretic models (91A40) Optimal stochastic control (93E20) Portfolio theory (91G10)
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