The maximum principle in time-inconsistent LQ equilibrium control problem for jump diffusions

MaRDI QIDQ5155381zbMATH OpenFDO

Authors Ishak Alia, Farid Chighoub, Ayesha Sohail

Publication date 6 October 2021

zbMATH Keywords

equilibrium controllinear quadratic control problemstochastic maximum principletime inconsistencyvariational inequality

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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(6)

• Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
• Partially observed time-inconsistent stochastic linear-quadratic control with random jumps
• Time-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumps
• Time-inconsistent LQ games for large-population systems and applications
• Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model
• Equilibrium strategies in time-inconsistent stochastic control problems with delayed feedback.

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