Mixed Equilibrium Solution of Time-Inconsistent Stochastic LQ Problem

20 Aug 2018 Ni Yuan-Hua Li Xun Zhang Ji-Feng Krstic Miroslav

In this paper, we propose a novel equilibrium solution notion for the time-inconsistent stochastic linear-quadratic optimal control problem. This notion is called the mixed equilibrium solution, which consists of two parts: a pure-feedback-strategy part and an open-loop-control part... (read more)

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  • OPTIMIZATION AND CONTROL