Time-inconsistent stochastic linear-quadratic optimal control problem under non-Markovian regime-switching jump-diffusion model
Author:
Publisher
American Institute of Mathematical Sciences (AIMS)
Subject
Applied Mathematics,Control and Optimization,Computer Networks and Communications,Hardware and Architecture,Software
Reference48 articles.
1. Open-loop equilibrium strategy for mean-variance Portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
2. On time-inconsistent stochastic control in continuous time
3. Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps
4. On the Time-Inconsistent Deterministic Linear-Quadratic Control
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