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...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/173049 |