Time-inconsistent optimal control problems with regime-switching

DOI10.3934/mcrf.2017022zbMath1373.93385OpenAlexW2754527607MaRDI QIDQ2411029

Jiaqin Wei

Publication date: 20 October 2017

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

Full work available at URL: https://doi.org/10.3934/mcrf.2017022

zbMATH Keywords

linear-quadratic controlregime-switchingmulti-person gameequilibrium Hamilton-Jacobi-Bellman equationtime-inconsistence

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) PDEs in connection with control and optimization (35Q93)

Related Items

Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach, Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach, Equilibrium strategies for time-inconsistent stochastic switching systems, Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems, Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting, Controlled Markov chains with non-exponential discounting and distribution-dependent costs, Portfolio selection with regime-switching and state-dependent preferences

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