Time-Inconsistent Stochastic Linear--Quadratic Control
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Publication:2910915
DOI10.1137/110853960zbMath1251.93141arXiv1111.0818OpenAlexW2963939707MaRDI QIDQ2910915
Hanqing Jin, Ying Hu, Xun Yu Zhou
Publication date: 12 September 2012
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1111.0818
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)
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