Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations
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Publication:4999562
DOI10.1051/cocv/2021027zbMath1467.93339arXiv1911.04995OpenAlexW3133802110MaRDI QIDQ4999562
Publication date: 7 July 2021
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.04995
stochastic differential gamesequilibrium strategybackward stochastic Volterra integral equationequilibrium Hamilton-Jacobi-Bellman equationtime-inconsistent optimal control problem
Differential games and control (49N70) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Stochastic integrals (60H05)
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