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Equilibrium Controls in Time Inconsistent Stochastic Linear Quadratic Problems · Study

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ArticleEquilibrium Controls in Time Inconsistent Stochastic Linear Quadratic Problems

Tianxiao Wang2018

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Articlegreen2018

Equilibrium Controls in Time Inconsistent Stochastic Linear Quadratic Problems

28 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Advanced Control Systems Optimization Optimization and Variational Analysis

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References

1955Myopia and Inconsistency in Dynamic Utility Maximization 1973Myopia and Inconsistency in Dynamic Utility Maximization 1999Stochastic controls : Hamiltonian systems and HJB equations 1999Stochastic Controls 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION 1998Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs 1973On the Existence of a Consistent Course of Action when Tastes are Changing 2000Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II

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2020Extended backward stochastic Volterra integral equations and their applications to time-Inconsistent stochastic recursive control problems

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Year2018

Typearticle

Published2018-07-26

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations28

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-018-9513-x

openalex_workW2963448903

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