摘要 : This paper studies stochastic linear-quadratic control with a time-inconsistent objective and worst-case drift disturbance. We allow the agent to introduce disturbances to reflect her uncertainty about the drift coefficient of the... 展开
作者 | Han~ Bingyan Pun~ Chi Seng Wong~ Hoi Ying |
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作者单位 | |
期刊名称 | 《Applied mathematics and optimization》 |
总页数 | 40 |
语种/中图分类号 | 英语 / O224 |
关键词 | Robust control Stochastic linear-quadratic control Time-inconsistent preterence Forward-backward stochastic differential equation VARIANCE PORTFOLIO SELECTION OPTIMIZATION BSDES |
馆藏号 | N2008EPST0000474 |