Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem

DOI10.1007/s10957-018-01471-xzbMath1410.91431OpenAlexW2914257613WikidataQ128516716 ScholiaQ128516716MaRDI QIDQ2420788

Xianping Guo, Zhongyang Sun

Publication date: 7 June 2019

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-018-01471-x

zbMATH Keywords

forward-backward stochastic differential equationmean-variance portfolio selectionequilibrium controlstochastic coefficients and random jumpstime-inconsistent linear-quadratic control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (15)

Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate ⋮ Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints ⋮ Time-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumps ⋮ Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps ⋮ Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems ⋮ Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications ⋮ Time-inconsistent LQ games for large-population systems and applications ⋮ Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model ⋮ Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model ⋮ Unnamed Item ⋮ Optimal mean-variance reinsurance in a financial market with stochastic rate of return ⋮ Time-consistent longevity hedging with long-range dependence ⋮ Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option ⋮ Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model ⋮ A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling

Cites Work

• Unnamed Item
• A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
• The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
• A theory of Markovian time-inconsistent stochastic control in discrete time
• A deterministic linear quadratic time-inconsistent optimal control problem
• Investment and consumption without commitment
• Consumption and portfolio rules for time-inconsistent investors
• Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming
• Time-inconsistent optimal control problems and the equilibrium HJB equation
• Theory of stochastic differential equations with jumps and applications.
• Optimal time-consistent investment and reinsurance policies for mean-variance insurers
• Time-Inconsistent Stochastic Linear--Quadratic Control
• A General Stochastic Maximum Principle for a Markov Regime Switching Jump-Diffusion Model of Mean-Field Type
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Partially observed time‐inconsistent stochastic linear‐quadratic control with random jumps
• Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
• The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system
• A risk-sensitive maximum principle for a Markov regime-switching jump-diffusion system and applications
• Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
• Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions
• MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

This page was built for publication: Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem