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

• المؤلفون الرئيسيون: Han, Bingyan, Pun, Chi Seng, Wong, Hoi Ying
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2022
• الموضوعات: Science::Mathematics; Robust Control; Stochastic Linear-Quadratic Control
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/163191

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...