Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs

DOI10.1007/S11425-022-2106-6MaRDI QIDQ6139329zbMATH OpenOpenAlexFDO

Authors

Publication date 18 January 2024

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-022-2106-6

zbMATH Keywords

generalized Riccati equationlinear-quadratic optimal control problemclosed-loop equilibrium strategyindefinite control weight costtime-inconsistent cost functional

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Feedback control (93B52) Optimal stochastic control (93E20)

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Cited in

(3)

• A singular linear quadratic time-inconsistent optimal control problem
• Time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations
• Time-inconsistent singular stochastic linear-quadratic control for stochastic evolution equations

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