Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation

DOI10.3934/MCRF.2015.5.651MaRDI QIDQ2356565zbMATH OpenOpenAlexFDO

Authors Haiyang Wang, Zhen Wu

Publication date 30 July 2015

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

Full work available at URL https://doi.org/10.3934/mcrf.2015.5.651

zbMATH Keywords

equilibrium HJB equationequilibrium strategylinear-quadratic problemmulti-person differential gamesstochastic partial differential equationstime inconsistency

Mathematics Subject Classification ID

Linear-quadratic optimal control problems (49N10) Differential games and control (49N70) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Optimal stochastic control (93E20)

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• Time-inconsistent optimal control problems and the equilibrium HJB equation
• Time-inconsistent stochastic linear-quadratic control

Cited in

(17)

• Time-inconsistent optimal control problems and the equilibrium HJB equation
• Equilibrium controls in time inconsistent stochastic linear quadratic problems
• Time inconsistent asset-liability management with partial information
• Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
• Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
• Time-inconsistent optimal control problems with regime-switching
• Closed-loop equilibrium strategies for general time-inconsistent optimal control problems
• Partially observed time-inconsistent stochastic linear-quadratic control with random jumps
• Time-inconsistent recursive stochastic optimal control problems
• Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem
• Time-inconsistent stochastic optimal control problems and backward stochastic Volterra integral equations
• Equilibrium strategies for time-inconsistent stochastic switching systems
• Time-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations
• Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems
• Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
• Time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations
• Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach

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