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)

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