Linear-quadratic optimal control problems for mean-field stochastic differential equations -- time-consistent solutions
From MaRDI portal
Publication:5347269
DOI10.1090/TRAN/6502zbMATH Open1361.93070arXiv1304.3964OpenAlexW2964068907MaRDI QIDQ5347269FDOQ5347269
Publication date: 23 May 2017
Published in: Transactions of the American Mathematical Society (Search for Journal in Brave)
Abstract: Linear-quadratic optimal control problems are considered for mean-field stochastic differential equations with deterministic coefficients. Time-inconsistency feature of the problems is carefully investigated. Both open-loop and closed-loop equilibrium solutions are presented for such kind of problems. Open-loop solutions are presented by means of variational method with decoupling of forward-backward stochastic differential equations, which lead to a Riccati equation system lack of symmetry. Closed-loop solutions are presented by means of multi-person differential games, the limit of which leads to a Riccati equation system with a symmetric structure.
Full work available at URL: https://arxiv.org/abs/1304.3964
Recommendations
- Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
- On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems
- Linear-quadratic optimal control problems for mean-field stochastic differential equations
- Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
- Linear quadratic optimal control problems for mean-field backward stochastic differential equations
Lyapunov equationmean-field stochastic differential equationRiccati equationtime-inconsistencyequilibrium solutionlinear-quadratic optimal control\(N\)-person differential games
Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Differential games and control (49N70) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)
Cites Work
- Forward-backward stochastic differential equations and their applications
- Linear-quadratic optimal control problems for mean-field stochastic differential equations
- Stochastic Differential Equations with Nonlocal Sample Dependence
- Control of McKean-Vlasov dynamics versus mean field games
- Consistent Plans
- Title not available (Why is that?)
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Investment and consumption without commitment
- Mean-field backward stochastic differential equations and related partial differential equations
- Time-Consistent Portfolio Management
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- Time-inconsistent stochastic linear-quadratic control
- Golden Eggs and Hyperbolic Discounting
- Time-inconsistent preferences in a general equilibrium model
- Consumption and portfolio rules for time-inconsistent investors
- Time-inconsistent optimal control problems and the equilibrium HJB equation
- Deterministic time-inconsistent optimal control problems -- an essentially cooperative approach
- A deterministic linear quadratic time-inconsistent optimal control problem
- The recursive approach to time inconsistency
- The golden rule when preferences are time inconsistent
- Time-consistent policies
- McKean–Vlasov Limit in Portfolio Optimization
- Non-constant discounting and differential games with random time horizon
Cited In (71)
- Linear-quadratic control for a class of stochastic Volterra equations: solvability and approximation
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Deterministic dynamic Stackelberg games: time-consistent open-loop solution
- Controlled Markov chains with non-exponential discounting and distribution-dependent costs
- Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach
- Robust time-inconsistent stochastic linear-quadratic control with drift disturbance
- Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework
- Mean-field stochastic linear-quadratic optimal control problems: weak closed-loop solvability
- Linear quadratic stochastic optimal control problems with operator coefficients: open-loop solutions
- Maximum principle for mean-field SDEs under model uncertainty
- Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
- Jiongmin Yong's mathematical works in recent thirty years
- CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING
- A robust time‐inconsistent linear‐quadratic problem
- Linear‐Quadratic Optimal Control Problems for Mean‐Field Stochastic Differential Equations with Jumps
- Mean-field stochastic linear-quadratic optimal control with Markov jump parameters
- Near Optimality of Stochastic Control for Singularly Perturbed McKean--Vlasov Systems
- Optimal regulators for a class of nonlinear stochastic systems
- Time-Inconsistent Recursive Stochastic Optimal Control Problems
- Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements
- Stochastic linear quadratic optimal control problems for mean-field stochastic evolution equations
- Closed-Loop Equilibrium for Time-Inconsistent McKean--Vlasov Controlled Problem
- Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
- A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion
- Time-inconsistent recursive zero-sum stochastic differential games
- Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
- Mean-field linear-quadratic stochastic differential games in an infinite horizon
- Small-time solvability of a flow of forward-backward stochastic differential equations
- An addendum to the problem of zero-sum LQ stochastic mean-field dynamic games
- Time-Inconsistent Consumption-Investment Problems in Incomplete Markets under General Discount Functions
- Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem
- Discrete time mean-field stochastic linear-quadratic optimal control problems
- On the Time-Inconsistent Deterministic Linear-Quadratic Control
- Time-inconsistent stochastic LQ problem with regime switching
- Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
- A closed-loop saddle point for zero-sum linear-quadratic stochastic differential games with mean-field type
- Optimal stochastic regulators with state-dependent weights
- Time-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations
- Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints
- Indefinite mean-field type linear-quadratic stochastic optimal control problems
- Delayed Optimal Control of Stochastic LQ Problem
- Mean-field stochastic linear quadratic optimal control problems: closed-loop solvability
- Linear-quadratic optimal control problems for mean-field stochastic differential equation with Lévy process
- On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems
- Time inconsistent asset-liability management with partial information
- Solvability and optimal stabilization controls of discrete-time mean-field stochastic system with infinite horizon
- Optimal regulator for a class of nonlinear stochastic systems with random coefficients
- Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
- Mean-field linear-quadratic stochastic differential games
- Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations
- Stochastic \(H_2/H_{\infty}\) control for mean-field stochastic differential systems with \((x, u, v)\)-dependent noise
- Linear-quadratic mean field stochastic zero-sum differential games
- Equilibrium strategies for time-inconsistent stochastic switching systems
- Linear-Quadratic Optimal Control Problem for Partially Observed Forward-Backward Stochastic Differential Equations of Mean-Field Type
- Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems
- Novel closed-loop controllers for fractional linear quadratic time-varying systems
- Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs
- Closed-loop and open-loop equilibrium of a class time-inconsistent linear-quadratic differential games
- The mean-field linear quadratic optimal control problem for stochastic systems controlled by impulses
- Optimal Linear-Quadratic Regulator for a Stochastic System under Mutually Inverse Time Preferences in the Cost
- Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model
- Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications
- An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion
- Optimal controls for forward-backward stochastic differential equations: time-inconsistency and time-consistent solutions
- Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems
- Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
- Present-biased lobbyists in linear-quadratic stochastic differential games
- Time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations
- Characterization of stochastic equilibrium controls by the Malliavin calculus
- A Nash-Type Fictitious Game Framework to Time-Inconsistent Stochastic Control Problems
- A singular linear quadratic time-inconsistent optimal control problem
This page was built for publication: Linear-quadratic optimal control problems for mean-field stochastic differential equations -- time-consistent solutions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5347269)
