Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach

DOI10.3934/MCRF.2020020MaRDI QIDQ828998zbMATH OpenOpenAlexFDO

Authors Ishak Alia

Publication date 5 May 2021

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

Full work available at URL https://doi.org/10.3934/mcrf.2020020

zbMATH Keywords

backward stochastic partial differential equationsequilibrium controlmean-variance problemstochastic controltime-inconsistency

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Applications of game theory (91A80) Optimal stochastic control (93E20)

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Cited in

(11)

• Time-inconsistent optimal control problems and the equilibrium HJB equation
• Partially observed time-inconsistency recursive optimization problem and application
• Time-inconsistent optimal control problems and related issues
• Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation
• Nonlinear PDE approach to time-inconsistent optimal stopping
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• Time-inconsistent linear quadratic optimal control problem for forward-backward stochastic differential equations
• Time-inconsistent singular stochastic linear-quadratic control for stochastic evolution equations

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