Equilibrium strategies for time-inconsistent stochastic switching systems
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Publication:5107969
DOI10.1051/cocv/2018051zbMath1441.93346arXiv1712.09505OpenAlexW2963619613WikidataQ129207716 ScholiaQ129207716MaRDI QIDQ5107969
Publication date: 29 April 2020
Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1712.09505
Hamilton-Jacobi-Bellman equationstochastic optimal controlequilibrium strategytime-inconsistencystochastic switching diffusion
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Control/observation systems governed by ordinary differential equations (93C15) Control/observation systems governed by functional relations other than differential equations (such as hybrid and switching systems) (93C30)
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