Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem
From MaRDI portal
(Redirected from Publication:4622012)
Abstract: In this paper, we propose a novel equilibrium solution notion for the time-inconsistent stochastic linear-quadratic optimal control problem. This notion is called the mixed equilibrium solution, which consists of two parts: a pure-feedback-strategy part and an open-loop-control part. When the pure-feedback-strategy part is zero or the open-loop-control part does not depend on the initial state, the mixed equilibrium solution reduces to the open-loop equilibrium control and the feedback equilibrium strategy, respectively. Using a maximum-principle-like methodology with forward-backward stochastic difference equations, a necessary and sufficient condition is established to characterize the existence of a mixed equilibrium solution. Then, by decoupling the forward-backward stochastic difference equations, three sets of difference equations, which together portray the existence of a mixed equilibrium solution, are obtained. Moreover, the case with a fixed time-state initial pair and the case with all the initial pairs are separately investigated. Furthermore, an example is constructed to show that the mixed equilibrium solution exists for all the initial pairs, although neither the open-loop equilibrium control nor the feedback equilibrium strategy exists for some initial pairs.
Recommendations
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
- Time-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations
- A stochastic linear-quadratic differential game with time-inconsistency
- Time-inconsistent stochastic LQ problem with regime switching
- Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
- Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
- Mixed quasi invex equilibrium problems
- Linear-quadratic optimal control problems for mean-field stochastic differential equations -- time-consistent solutions
- Time-inconsistent stochastic linear-quadratic control
Cites work
- A deterministic linear quadratic time-inconsistent optimal control problem
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Better than dynamic mean-variance: time inconsistency and free cash flow stream
- Consistent Plans
- Consumption-Savings Decisions with Quasi-Geometric Discounting
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Deterministic time-inconsistent optimal control problems -- an essentially cooperative approach
- Differential Games
- Discrete-time indefinite LQ control with state and control dependent noises
- Golden Eggs and Hyperbolic Discounting
- scientific article; zbMATH DE number 1243371 (Why is no real title available?)
- Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control
- Investment and consumption without commitment
- Linear-quadratic optimal control problems for mean-field stochastic differential equations -- time-consistent solutions
- Mean-variance portfolio optimization with state-dependent risk aversion
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Time-Inconsistent Mean-Field Stochastic LQ Problem: Open-Loop Time-Consistent Control
- Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation
- Time-inconsistent optimal control problems and the equilibrium HJB equation
- Time-inconsistent recursive stochastic optimal control problems
- Time-inconsistent stochastic linear-quadratic control
- Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
Cited in
(13)- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Maximum principle for general partial information nonzero sum stochastic differential games and applications
- A solution method for heterogeneity involving present bias
- Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
- Time-inconsistent stochastic LQ problem with regime switching
- Near optimality of stochastic control for singularly perturbed McKean-Vlasov systems
- A Nash-type fictitious game framework to time-inconsistent stochastic control problems
- Time-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations
- Closed-Loop Equilibrium for Time-Inconsistent McKean--Vlasov Controlled Problem
- A robust time‐inconsistent linear‐quadratic problem
- A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility
- Solvability of indefinite stochastic LQ optimal control problems for jump diffusion models
- Maximum principle for discrete-time mean-field backward stochastic system
This page was built for publication: Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4622012)
