Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
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Publication:2245641
DOI10.3934/mcrf.2020043zbMath1478.93732arXiv2004.14346OpenAlexW3023213734MaRDI QIDQ2245641
Publication date: 15 November 2021
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2004.14346
backward stochastic Volterra integral equationopen-loop equilibrium controlextended backward stochastic Volterra integral equationtime-inconsistent stochastic recursive control problem
Related Items (12)
Backward Stochastic Volterra Integro-Differential Equations and Applications in Optimal Control Problems ⋮ Anticipated backward stochastic Volterra integral equations with jumps and applications to dynamic risk measures ⋮ Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems ⋮ On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications ⋮ Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes ⋮ Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems ⋮ Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations ⋮ Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies ⋮ A unified approach to well-posedness of type-I backward stochastic Volterra integral equations ⋮ Backward stochastic differential equations and backward stochastic Volterra integral equations with anticipating generators ⋮ Variation of constants formulae for forward and backward stochastic Volterra integral equations ⋮ Infinite horizon backward stochastic Volterra integral equations and discounted control problems
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