Optimal controls for forward-backward stochastic differential equations: time-inconsistency and time-consistent solutions

DOI10.1016/J.MATPUR.2024.103603MaRDI QIDQ6597805zbMATH OpenFDO

Authors Hanxiao Wang, Jiongmin Yong, Chao Zhou

Publication date 4 September 2024

Published in Journal de Mathématiques Pures et Appliquées. Neuvième Série (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.MATPUR.2024.103603

zbMATH Keywords

backward stochastic Volterra integral equationcontrolled forward-backward stochastic differential equationequilibrium Hamilton-Jacobi-Bellman equationequilibrium strategytime-inconsistent optimal control problem

Mathematics Subject Classification ID

Second-order parabolic equations (35K10) Volterra integral equations (45D05) Hamilton-Jacobi equations in optimal control and differential games (49L12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20) Hierarchical games (including Stackelberg games) (91A65) Optimal stochastic control (93E20)

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Cited in

(7)

• Optimal controls for forward-backward stochastic differential equations: time-inconsistency and time-consistent solutions
• Time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations
• Time-inconsistent singular stochastic linear-quadratic control for stochastic evolution equations
• Infinite horizon linear-quadratic leader-follower stochastic differential games for regime switching diffusions
• Robust equilibrium strategy for mean-variance-skewness portfolio selection problem with long memory
• A deep solver for backward stochastic Volterra integral equations
• Forward-backward stochastic linear-quadratic optimal controls: equilibrium strategies and nonsymmetric Riccati equations

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