Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps

Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps

The paper presents a characterization of equilibrium in a game-theoretic description of discounting conditional stochastic linear-quadratic (LQ for short) optimal control problem, in which the controlled state process evolves according to a multidimensional linear stochastic differential equation, w...

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Bibliographic Details
Main Authors: Nour El Houda Bouaicha, Farid Chighoub, Ishak Alia, Ayesha Sohail
Format: Article
Language:English
Published: VTeX 2022-02-01
Series:Modern Stochastics: Theory and Applications
Subjects:
Stochastic maximum principle
time-inconsistency
LQ control problem
equilibrium control
variational inequality
Online Access:https://www.vmsta.org/doi/10.15559/22-VMSTA199

Internet

https://www.vmsta.org/doi/10.15559/22-VMSTA199

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