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Time-Inconsistent Stochastic Linear--Quadratic Control

https://doi.org/10.1137/110853960
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
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Quadratic BSDEs driven by a continuous martingale and applications to the utility maximization problem
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BSDEs with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
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CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
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ERRATUM TO “BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME”
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A General Stochastic Maximum Principle for Optimal Control Problems
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Indefinite Stochastic Riccati Equations
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Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
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Backward stochastic differential equations and partial differential equations with quadratic growth
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Anomalies in Intertemporal Choice: Evidence and an Interpretation
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A deterministic linear quadratic time-inconsistent optimal control problem

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon
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Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem
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Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization
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Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
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Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
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Time-Inconsistent Linear Quadratic Optimal Control Problems for Stochastic Evolution Equations
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Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation
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A Nash-Type Fictitious Game Framework to Time-Inconsistent Stochastic Control Problems
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Time-Inconsistent Consumption-Investment Problems in Incomplete Markets under General Discount Functions
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Backward Stackelberg Differential Game with Constraints: A Mixed Terminal-Perturbation and Linear-Quadratic Approach
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Optimal Equilibria for Multidimensional Time-Inconsistent Stopping Problems
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Time-Inconsistency with Rough Volatility
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A Constructive Approach to Existence of Equilibria in Time-Inconsistent Stochastic Control Problems
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Backward Stochastic Volterra Integro-Differential Equations and Applications in Optimal Control Problems
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A Global Stochastic Maximum Principle for Forward-Backward Stochastic Control Systems with Quadratic Generators
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On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time
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On the Time-Inconsistent Deterministic Linear-Quadratic Control
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Time Inconsistency, Precommitment, and Equilibrium Strategies for a Stackelberg Game
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Time-Inconsistent Mean Field and \({n}\)-Agent Games under Relative Performance Criteria
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Equilibria for Time-Inconsistent Singular Control Problems
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On Stochastic Control Problems with Higher-Order Moments
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Set Values of Dynamic Nonzero Sum Games and Set-Valued Hamiltonians
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Short Communication: An Integral Equation in Portfolio Selection with Time-Inconsistent Preferences
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Forward-Backward Stochastic Linear-Quadratic Optimal Controls: Equilibrium Strategies and Nonsymmetric Riccati Equations
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Dynamic Mean-Variance Asset Allocation in General Incomplete Markets
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ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION
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CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING
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TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION
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PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION
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Characterization of stochastic equilibrium controls by the Malliavin calculus
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Equilibrium Time-Consistent Strategy for Corporate International Investment Problem with Mean-Variance Criterion
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Time-Consistent Strategies for Multi-Period Portfolio Optimization with/without the Risk-Free Asset
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Nash Equilibrium Strategy for a DC Pension Plan with State-Dependent Risk Aversion: A Multiperiod Mean-Variance Framework
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Closed-Loop Equilibrium Reinsurance-Investment Strategy with Insider Information and Default Risk
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Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications
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Dynamic approaches for some time-inconsistent optimization problems
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Conditional Optimal Stopping: A Time-Inconsistent Optimization
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Me, myself and I: A general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
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Gittins’ theorem under uncertainty
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Linear Quadratic Optimal Control for Discrete Time Time-Varying Markov Jump Systems
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Research Summary on Time-Inconsistent Control Problems
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The Latest Development of Equilibrium Riccati Equation
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Research Summary on Time-Inconsistent LQ Problem
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Value Function of a Class of Time-Inconsistent Control Problems
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Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time
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Time-Consistent Conditional Expectation Under Probability Distortion
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Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth
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Optimal Investment Strategy for α-Robust Utility Maximization Problem
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Dynamic Portfolio Selection for Nonlinear Law-Dependent Preferences
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Time-Consistent Portfolio Selection for Rank-Dependent Utilities in a Constrained Market
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Continuous-time mean-variance portfolio selection with regime-switching financial market: Time-consistent solution
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Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps
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Better Than Pre-Committed Optimal Mean-Variance Policy in a Jump Diffusion Market
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Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation
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Time-Consistent Stopping Under Decreasing Impatience
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Time-Inconsistent Stochastic LinearrQuadratic Control: Characterization and Uniqueness of Equilibrium
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