TimeInconsistent Stochastic LinearQuadratic Control: Characterization and Uniqueness of Equilibrium
 Publisher: Society for Industrial and Applied Mathematics

Related identifiers: doi: 10.1137/15M1019040 
Subject: stochastic linearquadratic control  meanvariance portfolio selection  timeinconsistency  uniqueness of equilibrium control  forwardbackward stochastic differential equation  [ QFIN.PM ] Quantitative Finance [qfin]/Portfolio Management [qfin.PM]  [ MATH.MATHPR ] Mathematics [math]/Probability [math.PR]
International audience; In this paper, we continue our study on a general timeinconsistent stochastic linearquadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of forwardbac...
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