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- Publisher
- Springer Journals
- Copyright
- Copyright © Springer Science+Business Media, LLC, part of Springer Nature 2018
- Subject
- Mathematics; Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Theoretical, Mathematical and Computational Physics; Mathematical Methods in Physics; Numerical and Computational Physics, Simulation
- ISSN
- 0095-4616
- eISSN
- 1432-0606
- DOI
- 10.1007/s00245-018-9513-x
- Publisher site
- See Article on Publisher Site
Abstract
This paper deals with a class of time inconsistent stochastic linear quadratic optimal control problems in Markovian framework. Three notions, i.e., closed-loop equilibrium strategies, open-loop equilibrium controls and open-loop equilibrium strategies, are characterized in unified manners. These results indicate clearer and deeper distinctions among these notions. For example, in particular time consistent setting, the open-loop equilibrium controls are fully characterized by first-order, second-ordernecessaryoptimalityconditions, and are not optimal in general, while the closed-loop equilibrium controls naturally reduce into closed-loopoptimalcontrols.
Journal
Applied Mathematics and Optimization – Springer Journals
Published: Apr 26, 2020