A deterministic linear quadratic time-inconsistent optimal control problem

From MaRDI portal
Publication:550531

DOI10.3934/mcrf.2011.1.83zbMath1222.49043arXiv1204.1856OpenAlexW2154675836MaRDI QIDQ550531

Jiong-min Yong

Publication date: 11 July 2011

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.1856




Related Items (28)

Consumption-investment strategies with non-exponential discounting and logarithmic utilityFinite horizon mean-field stochastic \(H_2/H_\infty\) control for continuous-time systems with \((x,v)\)-dependent noiseTime-inconsistent stochastic LQ problem with regime switchingTime-inconsistent optimal control problems with regime-switchingTime-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumpsConditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumpsLinear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutionsEquilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problemA robust time‐inconsistent linear‐quadratic problemA singular linear quadratic time-inconsistent optimal control problemOpen-loop equilibriums for a general class of time-inconsistent stochastic optimal control problemsTime-Inconsistent Recursive Stochastic Optimal Control ProblemsTime-inconsistent LQ games for large-population systems and applicationsInvestment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discountingA stochastic linear-quadratic differential game with time-inconsistencyMixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic ProblemAn optimal control problem of forward-backward stochastic Volterra integral equations with state constraintsJiongmin Yong's mathematical works in recent thirty yearsA non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusionEquilibrium time-consistent strategy for corporate international investment problem with mean-variance criterionLinear-quadratic time-inconsistent mean field gamesA time consistent dynamic bargaining procedure in differential games with heterogeneous discountingExponential utility maximization for an insurer with time-inconsistent preferencesTime-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution EquationsTime-inconsistent recursive zero-sum stochastic differential gamesCONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHINGCharacterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. ITime-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation




This page was built for publication: A deterministic linear quadratic time-inconsistent optimal control problem