Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs

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外文摘要：A time-inconsistent linear-quadratic optimal control problem for stochastic differential equations is studied.We introduce conditions where the control cost weighting matrix is possibly singular.Under such conditions,we obtain a family of closed-loop equilibrium strategies via multi-person differential games.This result extends Yong's work(2017)in the case of stochastic differential equations,where a unique closed-loop equilibrium strategy can be derived under standard conditions(namely,the control cost weighting matrix is uniformly positive definite,and the other weighting coefficients are positive semidefinite).

外文关键词：

linear-quadratic optimal control problemtime-inconsistent cost functionalgeneralized Riccati equationindefinite control weight costclosed-loop equilibrium strategy

作者：

Qi Lü、Bowen Ma

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作者单位：

School of Mathematics,Sichuan University,Chengdu 610064,China

基金：

National Natural Science Foundation of ChinaNational Natural Science Foundation of ChinaNational Natural Science Foundation of ChinaChang Jiang Scholars Program and the Science Development Project of Sichuan UniversityChang Jiang Scholars Program and the Science Development Project of Sichuan University

项目编号：

1202510511971334119310112020SCUNL1012020SCUNL201

出版年：

2024

DOI：

10.1007/s11425-022-2106-6

中国科学:数学(英文版)

中国科学院

中国科学:数学(英文版)

CSTPCD

影响因子：0.36

ISSN：1674-7283

年,卷(期)：2024.67(1)

参考文献量31