Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems
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Publication:6157104
DOI10.3934/mcrf.2021053zbMath1518.93151arXiv2008.05582OpenAlexW3208506875MaRDI QIDQ6157104
Publication date: 19 June 2023
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2008.05582
stochastic controlPoisson point processtime-inconsistencymean-variance problemparabolic integro-partial differential equationsopen-loop equilibrium control
Integro-partial differential equations (45K05) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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