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Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions
16 references·16 citing·42 second hopsampled
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References

  • 1997Golden Eggs and Hyperbolic Discounting6,117 cited
  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
  • 1968On Second-Best National Saving and Game-Equilibrium Growth1,450 cited
  • 1999Stochastic Controls1,243 cited
  • 2007Forward-Backward Stochastic Differential Equations and their Applications675 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 2009Mean-field backward stochastic differential equations and related partial differential equations342 cited
  • 2013Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations333 cited
  • 2008Investment and consumption without commitment285 cited
  • 2012Time-Inconsistent Stochastic Linear--Quadratic Control268 cited
  • 2012Control of McKean–Vlasov dynamics versus mean field games238 cited
  • 2007Investment under uncertainty and time-inconsistent preferences☆219 cited
  • 2012Time-inconsistent optimal control problems and the equilibrium HJB equation145 cited
  • 2012Time-Consistent Portfolio Management138 cited

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1985
Dynamic Games and the Time Inconsistency of Optimal Policy in Open Economies
118 cited

Cited by

  • 2014Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control76 cited
  • 2017Linear Quadratic Optimal Control Problems for Mean-Field Backward Stochastic Differential Equations74 cited
  • 2017Time-Inconsistent Recursive Stochastic Optimal Control Problems72 cited
  • 2017Time-consistent mean–variance asset–liability management with random coefficients63 cited
  • 2014Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models42 cited
  • 2021Optimal regulators for a class of nonlinear stochastic systems39 cited
  • 2017Time-Inconsistent Mean-Field Stochastic LQ Problem: Open-Loop Time-Consistent Control38 cited
  • 2020Linear-Quadratic Time-Inconsistent Mean-Field Type Stackelberg Differential Games: Time-Consistent Open-Loop Solutions36 cited
  • 2020Linear–quadratic mean field stochastic zero-sum differential games36 cited
  • 2020Indefinite mean-field type linear–quadratic stochastic optimal control problems34 cited
  • 2015A Characterization of Sub-game Perfect Equilibria for SDEs of Mean-Field Type32 cited
  • 2019Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions32 cited
  • 2021Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations32 cited
  • 2018Equilibrium Controls in Time Inconsistent Stochastic Linear Quadratic Problems28 cited
  • 2019Time-Inconsistent Optimal Control Problems and Related Issues27 cited
  • 2020Extended backward stochastic Volterra integral equations and their applications to time-Inconsistent stochastic recursive control problems26 cited