Closed-loop equilibrium strategies for general time-inconsistent optimal control problems
From MaRDI portal
Publication:3382777
Recommendations
- Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Time-inconsistent optimal control problems
- Time-inconsistent optimal control problems and the equilibrium HJB equation
- Time-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations
Cites work
- A regular equilibrium solves the extended HJB system
- Backward stochastic Volterra integral equations -- representation of adapted solutions
- Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems
- Constrained utility deviation-risk optimization and time-consistent HJB equation
- Consumption and portfolio rules for time-inconsistent investors
- Contracting with Diversely Naive Agents
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion
- scientific article; zbMATH DE number 3505708 (Why is no real title available?)
- Investment and consumption without commitment
- Mean-variance portfolio optimization with state-dependent risk aversion
- Necessary conditions in stochastic linear quadratic problems and their applications
- On semi-linear degenerate backward stochastic partial differential equations
- On the equilibrium strategies for time-inconsistent problems in continuous time
- On time-inconsistent stochastic control in continuous time
- Optimal exit time from casino gambling: strategies of precommitted and naive gamblers
- The golden rule when preferences are time inconsistent
- Time-consistent portfolio management
- Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation
- Time-inconsistent optimal control problems
- Time-inconsistent optimal control problems and the equilibrium HJB equation
- Utility-deviation-risk portfolio selection
Cited in
(12)- Conditions of optimality of quasiopen-loop strategies
- Closed-loop Stackelberg strategies for singularly perturbed systems: the recursive approach
- Closed-Loop Equilibrium for Time-Inconsistent McKean--Vlasov Controlled Problem
- Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs
- 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
- Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
- Closed-loop and open-loop equilibrium of a class time-inconsistent linear-quadratic differential games
- Singular backward stochastic Volterra integral equations in infinite dimensional spaces
- On stochastic control problems with higher-order moments
- A deep solver for backward stochastic Volterra integral equations
- Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems
This page was built for publication: Closed-loop equilibrium strategies for general time-inconsistent optimal control problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3382777)
