Time-inconsistent stochastic linear-quadratic control in continuous time
This paper studies a process of dealing with time inconsistent stochastic control problems using a system of Hamilton-Jacobi-Bellman equations. Such an approach aims to obtain an equilibrium strategy—through a subgame perfect Nash Equilibrium perspective—from which does not necessarily maximise the...
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| Format: | Final Year Project |
| Language: | English |
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Nanyang Technological University
2021
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| Online Access: | https://hdl.handle.net/10356/146125 |
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| Institution: | Nanyang Technological University |
| Language: | English |