Robust time-inconsistent stochastic linear-quadratic control with drift disturbance

Robust time-inconsistent stochastic linear-quadratic control with drift disturbance

This paper studies stochastic linear-quadratic control with a time-inconsistent objective and worst-case drift disturbance. We allow the agent to introduce disturbances to reflect her uncertainty about the drift coefficient of the controlled state process. We adopt a two-step equilibrium control app...

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Bibliographic Details
Main Authors: Han, Bingyan, Pun, Chi Seng, Wong, Hoi Ying
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2022
Subjects:
Science::Mathematics
Robust Control
Stochastic Linear-Quadratic Control
Online Access:https://hdl.handle.net/10356/163191
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Institution: Nanyang Technological University
Language: English

Internet

https://hdl.handle.net/10356/163191

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