Time-inconsistent optimal control problems

MaRDI QIDQ4589036zbMATH OpenFDO

Authors Jiongmin Yong

Publication date 6 November 2017

zbMATH Keywords

differential gamesequilibrium solutionHamilton-Jacobi- Bellman equationlinear-quadratic problemRiccati equationstochastic optimal controltime inconsistency

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Linear optimal control problems (49N05) Differential games and control (49N70) Optimal stochastic control (93E20)

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Cited in

(31)

• Dynamic approaches for some time-inconsistent optimization problems
• Time-inconsistent optimal control problems and the equilibrium HJB equation
• Dynamic consistency for stochastic optimal control problems
• Jiongmin Yong's mathematical works in recent thirty years
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• Time-inconsistent recursive zero-sum stochastic differential games
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• Time-inconsistent optimal control problems with regime-switching
• Optimal Control with Noisy Time
• Equilibrium control of a class of time-inconsistent optimal control problems with infinite horizon
• Closed-loop equilibrium strategies for general time-inconsistent optimal control problems
• TIME-OPTIMAL CONTROL AND THE TRIGONOMETRIC MOMENT PROBLEM
• Time-inconsistent recursive stochastic optimal control problems
• scientific article; zbMATH DE number 6108107 (Why is no real title available?)
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• Who are I: time inconsistency and intrapersonal conflict and reconciliation
• Tail optimality and preferences consistency for intertemporal optimization problems
• Equilibrium strategies for time-inconsistent stochastic switching systems
• Deterministic time-inconsistent optimal control problems -- an essentially cooperative approach
• Time-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations
• A deterministic linear quadratic time-inconsistent optimal control problem
• Present-biased lobbyists in linear-quadratic stochastic differential games
• Short Communication: Is a Sophisticated Agent Always a Wise One?
• Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems
• Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs
• 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
• Forward-backward stochastic linear-quadratic optimal controls: equilibrium strategies and nonsymmetric Riccati equations
• Infinite time horizon optimal control of McKean-Vlasov SDEs
• Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems

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