Equilibrium controls in time inconsistent stochastic linear quadratic problems
This paper deals with a class of time inconsistent stochastic linear quadratic (SLQ) optimal control problems in Markovian framework. Three notions, i.e., closed-loop equilibrium controls/strategies, open-loop equilibrium controls and their closed-loop representations, are characterized in unified m...
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Published in | arXiv.org |
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Main Author | |
Format | Paper |
Language | English |
Published |
Ithaca
Cornell University Library, arXiv.org
04.02.2018
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Subjects | |
Online Access | Get full text |
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Summary: | This paper deals with a class of time inconsistent stochastic linear quadratic (SLQ) optimal control problems in Markovian framework. Three notions, i.e., closed-loop equilibrium controls/strategies, open-loop equilibrium controls and their closed-loop representations, are characterized in unified manners. These results indicate clearer and deeper distinctions among these notions. For example, in particular time consistent setting, the open-loop equilibrium controls are fully characterized by first-order, second-order necessary optimality conditions, and become needlessly optimal, while the closed-loop equilibrium controls naturally reduce into closed-loop optimal controls. |
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ISSN: | 2331-8422 |