Time-inconsistent stochastic linear-quadratic control
From MaRDI portal
Abstract: In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the objective functional. We define an equilibrium, instead of optimal, solution within the class of open-loop controls, and derive a sufficient condition for equilibrium controls via a flow of forward--backward stochastic differential equations. When the state is one dimensional and the coefficients in the problem are all deterministic, we find an explicit equilibrium control. As an application, we then consider a mean-variance portfolio selection model in a complete financial market where the risk-free rate is a deterministic function of time but all the other market parameters are possibly stochastic processes. Applying the general sufficient condition, we obtain explicit equilibrium strategies when the risk premium is both deterministic and stochastic.
Recommendations
- On the time-inconsistent deterministic linear-quadratic control
- Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
- Time-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations
- Stochastic linear quadratic control problem on time scales
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Partially observed time-inconsistent stochastic linear-quadratic control with random jumps
- Robust time-inconsistent stochastic linear-quadratic control with drift disturbance
- Stochastic linear-quadratic optimal control without time-consistency requirement
- Time-Inconsistent Mean-Field Stochastic LQ Problem: Open-Loop Time-Consistent Control
- A deterministic linear quadratic time-inconsistent optimal control problem
Cited in
(only showing first 100 items - show all)- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion
- Alpha-robust mean-variance reinsurance-investment strategy
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- Time-consistent mean-variance asset-liability management with random coefficients
- Mean-variance portfolio selection in a complete market with unbounded random coefficients
- Time-consistent stopping under decreasing impatience
- Dynamic approaches for some time-inconsistent optimization problems
- An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior
- Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset
- Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
- Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
- Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion
- Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Optimal dividend strategies with time-inconsistent preferences
- Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
- Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution
- Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
- Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model
- Time-consistent longevity hedging with long-range dependence
- Small-time solvability of a flow of forward-backward stochastic differential equations
- Robust state-dependent mean-variance portfolio selection: a closed-loop approach
- Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
- Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models.
- Gittins' theorem under uncertainty
- Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model
- Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints
- Equilibrium pairs trading under delayed cointegration
- Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints
- Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio
- Mean-variance asset-liability management problem under non-Markovian regime-switching models
- Time inconsistent asset-liability management with partial information
- Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
- Time-inconsistent risk-sensitive equilibrium for countable-stated Markov decision processes
- Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
- Partially observed time-inconsistency recursive optimization problem and application
- A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion
- Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
- Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
- Time-inconsistent recursive zero-sum stochastic differential games
- Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
- Robust optimal consumption-investment strategy with non-exponential discounting
- Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation
- Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
- Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model
- Better than pre-committed optimal mean-variance policy in a jump diffusion market
- Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
- Linear-quadratic time-inconsistent mean field games
- Conditional optimal stopping: a time-inconsistent optimization
- Time-inconsistent stochastic LQ problem with regime switching
- Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps
- Robust time-inconsistent stochastic linear-quadratic control with drift disturbance
- Survey on multi-period mean-variance portfolio selection model
- Hybrid strategy in multiperiod mean-variance framework
- Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
- A stochastic linear-quadratic differential game with time-inconsistency
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Continuous-time mean-variance portfolio selection with random horizon in an incomplete market
- A characterization of sub-game perfect equilibria for SDEs of mean-field type
- Optimal time-consistent portfolio and contribution selection for defined benefit pension schemes under mean-variance criterion
- Nonlinear PDE approach to time-inconsistent optimal stopping
- Consumption-investment strategies with non-exponential discounting and logarithmic utility
- Stochastic linear-quadratic optimal control without time-consistency requirement
- A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
- Infinite horizon indefinite stochastic linear quadratic control for discrete-time systems
- On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems
- Partially observed time-inconsistent stochastic linear-quadratic control with random jumps
- On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
- Time-inconsistent recursive stochastic optimal control problems
- Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem
- The optimal equilibrium for time-inconsistent stopping problems -- the discrete-time case
- Time-consistent conditional expectation under probability distortion
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
- Optimal equilibria for multidimensional time-inconsistent stopping problems
- Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
- Time-inconsistent consumption-investment problems in incomplete markets under general discount functions
- Controlled Markov chains with non-exponential discounting and distribution-dependent costs
- Time-inconsistent stochastic optimal control problems and backward stochastic Volterra integral equations
- Strong and weak equilibria for time-inconsistent stochastic control in continuous time
- Mean-variance portfolio selection with non-negative state-dependent risk aversion
- Multi-time state mean-variance model in continuous time
- Time-inconsistency with rough volatility
- Who are I: time inconsistency and intrapersonal conflict and reconciliation
- Characterization of stochastic equilibrium controls by the Malliavin calculus
- A constructive approach to existence of equilibria in time-inconsistent stochastic control problems
- On the time-inconsistent deterministic linear-quadratic control
- A Nash-type fictitious game framework to time-inconsistent stochastic control problems
- Mean-variance portfolio selection with dynamic targets for expected terminal wealth
- Backward Stackelberg differential game with constraints: a mixed terminal-perturbation and linear-quadratic approach
- A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
- Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements
- Time-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumps
- Backward stochastic Volterra integro-differential equations and applications in optimal control problems
- Equilibrium strategies for time-inconsistent stochastic switching systems
- On closed-loop equilibrium strategies for mean-field stochastic linear quadratic problems
- MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
- Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization
This page was built for publication: Time-inconsistent stochastic linear-quadratic control
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2910915)
