Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation

DOI10.3934/mcrf.2015.5.651zbMath1316.93127OpenAlexW2526648061MaRDI QIDQ2356565

Haiyang Wang, Zhen Wu

Publication date: 30 July 2015

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2015.5.651

zbMATH Keywords

linear-quadratic problemstochastic partial differential equationstime inconsistencyequilibrium strategyequilibrium HJB equationmulti-person differential games

Mathematics Subject Classification ID

Differential games and control (49N70) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (10)

Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach ⋮ Time-inconsistent optimal control problems with regime-switching ⋮ Time inconsistent asset-liability management with partial information ⋮ Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients ⋮ Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems ⋮ Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies ⋮ Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem ⋮ Equilibrium controls in time inconsistent stochastic linear quadratic problems ⋮ Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems ⋮ Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I

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