An extended McKean–Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix

An extended McKean–Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix

This paper studies a general class of time-inconsistent stochastic control problems under ambiguous covariance matrix. The time inconsistency is caused in various ways by a general objective functional and thus the associated control problem does not admit Bellman’s principle of optimality. Moreover...

Full description

Saved in:
Bibliographic Details
Main Authors: Lei, Qian, Pun, Chi Seng
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2024
Subjects:
Science::Mathematics
Dynamic Programming/optimal Control
Time Inconsistency
Online Access:https://hdl.handle.net/10356/173049
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Nanyang Technological University
Language: English

Internet

https://hdl.handle.net/10356/173049

Similar Items