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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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2022
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/163191 |
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| Institution: | Nanyang Technological University |
| Language: | English |