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

• 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
• Institution: Nanyang Technological University

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...