Time-inconsistent stochastic linear-quadratic control in continuous time

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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書目詳細資料
主要作者:	Song, Wan Jing
其他作者:	PUN Chi Seng
格式:	Final Year Project
語言:	English
出版:	Nanyang Technological University 2021
主題:	Science::Mathematics::Applied mathematics::Operational research Science::Mathematics::Applied mathematics::Game theory
在線閱讀:	https://hdl.handle.net/10356/146125
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University
語言:	English

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