Time-inconsistent stochastic linear-quadratic control

SIAM Journal on Control and Optimization

Volumn 50, Issue 3, 2012, Pages 1548-1572

  Hu, Ying ^a   Jin, Hanqing ^b   Zhou, Xun Yu ^b,c  

^a UNIVERSITÉ DE RENNES 1   (France)

^b UNIVERSITY OF OXFORD   (United Kingdom)

^c CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Equilibriumcontrol; Forward backward stochastic differential equation; Mean variance portfolio selection; Stochastic linear quadratic control; Time inconsistency

Indexed keywords

EQUILIBRIUMCONTROL; FORWARD-BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; PORTFOLIO SELECTION; STOCHASTIC LINEAR QUADRATIC CONTROL; TIME-INCONSISTENCY;

RANDOM PROCESSES; STOCHASTIC SYSTEMS;

STOCHASTIC CONTROL SYSTEMS;

EID: 84865529161     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/110853960     Document Type: Article

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