Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications-Reference-Cited by-同舟云学术

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Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications

Published:2023-08 Issue: Volume:123 Page:107270
ISSN:1007-5704
Container-title:Communications in Nonlinear Science and Numerical Simulation
language:en
Short-container-title:Communications in Nonlinear Science and Numerical Simulation

Author:

Kang Jian-hao,Gou Zhun,Huang Nan-jing

Funder

National Natural Science Foundation of China

Chongqing Technology and Business University

Fundamental Research Funds for the Central Universities

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis

Reference44 articles.

1. Continuous-time stochastic control and optimization with financial applications;Pham,2009

2. Stochastic controls: Hamiltonian systems and HJB equations;Yong,1999

3. Dynamic mean–variance asset allocation;Basak;Rev Financ Stud,2010

4. A paradox in time-consistency in the mean–variance problem?;Bensoussan;Finance Stoch,2019

5. A General Theory of Markovian Time Inconsistent Stochastic Control Problems;Björk,2010

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