Time-Inconsistent Stochastic Linear--Quadratic Control: Characterization and Uniqueness of Equilibrium

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Hu , Ying; Jin , Hanqing; Zhou , Xun Yu;
  • Publisher: Society for Industrial and Applied Mathematics
  • Related identifiers: doi: 10.1137/15M1019040
  • Subject: stochastic linear-quadratic control | mean--variance portfolio selection | time-inconsistency | uniqueness of equilibrium control | forward--backward stochastic differential equation | [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR]

International audience; 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--bac... View more
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