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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書目詳細資料
Main Authors:	Han, Bingyan, Pun, Chi Seng, Wong, Hoi Ying
其他作者:	School of Physical and Mathematical Sciences
格式:	Article
語言:	English
出版:	2022
主題:	Science::Mathematics Robust Control Stochastic Linear-Quadratic Control
在線閱讀:	https://hdl.handle.net/10356/163191
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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