Time-inconsistent stochastic linear-quadratic control in continuous time

• Main Author: Song, Wan Jing
• Other Authors: PUN Chi Seng
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2021
• Subjects: Science::Mathematics::Applied mathematics::Operational research; Science::Mathematics::Applied mathematics::Game theory
• Online Access: https://hdl.handle.net/10356/146125
• Institution: Nanyang Technological University

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...