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Equilibrium Controls in Time Inconsistent Stochastic Linear Quadratic Problems
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References

  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1999Stochastic Controls1,243 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 1998Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs382 cited
  • 1973On the Existence of a Consistent Course of Action when Tastes are Changing359 cited
  • 2000Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II340 cited
  • 2013Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations333 cited
  • 2017On time-inconsistent stochastic control in continuous time325 cited
  • 2008Investment and consumption without commitment285 cited
  • 2011A General Stochastic Maximum Principle for SDEs of Mean-field Type281 cited
  • 2012Time-Inconsistent Stochastic Linear--Quadratic Control268 cited
  • 2014A theory of Markovian time-inconsistent stochastic control in discrete time224 cited
  • 2011Optimal time-consistent investment and reinsurance policies for mean-variance insurers

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216 cited
  • 2017Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium147 cited
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    • 2020Extended backward stochastic Volterra integral equations and their applications to time-Inconsistent stochastic recursive control problems26 cited