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arXiv · 1802.01077

Equilibrium controls in time inconsistent stochastic linear quadratic problems

Tianxiao Wang
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Abstract

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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Tianxiao Wang. 2018-02-04. Equilibrium controls in time inconsistent stochastic linear quadratic problems. https://arxiv.org/abs/1802.01077

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