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

• Published in: IDEAS Working Paper Series from RePEc
• Main Authors: Hu, Ying, Jin, Hanqing, Xun Yu Zhou
• Format: Paper
• Language: English
• Published: St. Louis Federal Reserve Bank of St. Louis 01.01.2017
• Subjects: Economic models; Equilibrium; Portfolio management

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 stat...