Time-inconsistent linear quadratic optimal control problem for forward–backward stochastic differential equations
We study the time-inconsistent linear quadratic optimal control problem for forward–backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research makes two contributions. Firstly, we introduce a novel type of...
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| Published in | ESAIM. Control, optimisation and calculus of variations Vol. 30; p. 76 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
2024
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| Online Access | Get full text |
| ISSN | 1292-8119 1262-3377 1262-3377 |
| DOI | 10.1051/cocv/2024064 |
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| Summary: | We study the time-inconsistent linear quadratic optimal control problem for forward–backward stochastic differential equations with potentially indefinite cost weighting matrices for both the state and the control variables. Our research makes two contributions. Firstly, we introduce a novel type of Riccati equation system with parameters and constraint conditions, known as the generalized equilibrium Riccati equation. This equation system offers a comprehensive solution for the closedloop equilibrium strategy of the problem at hand. Secondly, we establish the well-posedness of the generalized equilibrium Riccati equation for the one-dimensional case, provided certain conditions are met. |
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| ISSN: | 1292-8119 1262-3377 1262-3377 |
| DOI: | 10.1051/cocv/2024064 |