Time-inconsistent optimal control problems with regime-switching
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Publication:2411029
equilibrium Hamilton-Jacobi-Bellman equationlinear-quadratic controlmulti-person gameregime-switchingtime-inconsistence
PDEs in connection with control and optimization (35Q93) Dynamic programming in optimal control and differential games (49L20) Linear-quadratic optimal control problems (49N10) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Hierarchical games (including Stackelberg games) (91A65) Optimal stochastic control (93E20)
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Cited in
(16)- Time-inconsistent optimal control problems and the equilibrium HJB equation
- Portfolio selection with regime-switching and state-dependent preferences
- Time-inconsistent optimal control problems and related issues
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