Robust time-inconsistent stochastic linear-quadratic control with drift disturbance
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Publication:2673512
DOI10.1007/s00245-022-09871-2zbMath1492.93198OpenAlexW4282032611MaRDI QIDQ2673512
Chi Seng Pun, Bingyan Han, Hoi Ying Wong
Publication date: 10 June 2022
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-022-09871-2
robust controlforward-backward stochastic differential equationstochastic linear-quadratic controltime-inconsistent preference
Sensitivity (robustness) (93B35) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Linear-quadratic optimal control problems (49N10)
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