Time-Inconsistent Stochastic Linear--Quadratic Control
نویسندگان
چکیده
منابع مشابه
Time-Inconsistent Stochastic Linear-Quadratic Control
Abstract. In this paper, we formulate a general time-inconsistent stochastic linear–quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the objective functional. We define an equilibrium, instead of optimal, solution within the class of open-loop controls, and derive a sufficient condition...
متن کاملTime-Inconsistent Discrete-Time Stochastic Linear-Quadratic Optimal Control: Time-consistent Solutions
In this paper, the time-consistent solutions of a timeinconsistent discrete-time stochastic linear-quadratic optimal control are investigated. Different from the existing literature, the definiteness constraint is not posed on the state and the control weight matrices of the cost functional. Necessary and sufficient conditions are, respectively, obtained to the existence of the open-loop time-c...
متن کاملTime-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
In this paper, we continue our study on a general time-inconsistent stochastic linear–quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of forward– backward stochastic differential equations. When the state is one dimensional and the coefficients in the problem are all deterministic, we prove that the ...
متن کاملTime Inconsistent Stochastic Control in Continuous Time: Theory
In this paper, which is a continuation of the discrete time paper [4], we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We study these problems within a game theoretic framework, and we look for Nash subgame perfect equilibrium points. For a general controlled con...
متن کاملA General Theory of Markovian Time Inconsistent Stochastic Control Problems
We develop a theory for stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We attach these problems by viewing them within a game theoretic framework, and we look for Nash subgame perfect equilibrium points. For a general controlled Markov process and a fairly general objective functional we derive an ext...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2012
ISSN: 0363-0129,1095-7138
DOI: 10.1137/110853960