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

• 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
• Institution: Nanyang Technological University

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...