On the time-inconsistent deterministic linear-quadratic control
From MaRDI portal
Publication:5072288
DOI10.1137/21M1419611zbMATH Open1489.91074arXiv2105.03670OpenAlexW3163354943MaRDI QIDQ5072288FDOQ5072288
Authors: Hongyan Cai, Danhong Chen, Wei Wei, Yunfei Peng 
Publication date: 27 April 2022
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Abstract: A fundamental theory of deterministic linear-quadratic (LQ) control is the equivalent relationship between control problems, two-point boundary value problems and Riccati equations. In this paper, we extend the equivalence to a general time-inconsistent deterministic LQ problem, where the inconsistency arises from non-exponential discount functions. By studying the solvability of the Riccati equation, we show the existence and uniqueness of the linear equilibrium for the time-inconsistent LQ problem.
Full work available at URL: https://arxiv.org/abs/2105.03670
Recommendations
- A deterministic linear quadratic time-inconsistent optimal control problem
- Time-inconsistent stochastic linear-quadratic control
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Time-inconsistent optimal control problems and the equilibrium HJB equation
- Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
Riccati equationtime inconsistencylinear-quadratic controltwo-point boundary value problemequilibrium controlintrapersonal game
Cites Work
- Title not available (Why is that?)
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Investment and consumption without commitment
- Mean-variance portfolio optimization with state-dependent risk aversion
- Consumption-Savings Decisions with Quasi-Geometric Discounting
- Time-inconsistent stochastic linear-quadratic control
- Golden Eggs and Hyperbolic Discounting
- Linear-quadratic time-inconsistent mean field games
- Linear-quadratic optimal control problems for mean-field stochastic differential equations -- time-consistent solutions
- Time-inconsistent optimal control problems and the equilibrium HJB equation
- Choice and procrastination
- Non-hyperbolic time inconsistency
- Non-constant discounting in continuous time
- Time-inconsistent recursive stochastic optimal control problems
- Proportional Discounting of Future Costs and Benefits
- Time-inconsistent stochastic optimal control problems and backward stochastic Volterra integral equations
- Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
- Time-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations
- Weighted discounting -- on group diversity, time-inconsistency, and consequences for investment
- Failure of smooth pasting principle and nonexistence of equilibrium stopping rules under time-inconsistency
Cited In (6)
- Closed-loop and open-loop equilibrium of a class time-inconsistent linear-quadratic differential games
- A robust time‐inconsistent linear‐quadratic problem
- Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model
- Stochastic linear-quadratic control problems with affine constraints
- A deterministic linear quadratic time-inconsistent optimal control problem
- Time-inconsistent stochastic linear-quadratic control
This page was built for publication: On the time-inconsistent deterministic linear-quadratic control
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5072288)
