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A CONSTRUCTIVE APPROACH TO EXISTENCE OF EQUILIBRIA IN TIME-INCONSISTENT STOCHASTIC CONTROL PROBLEMS.
- Source :
-
SIAM Journal on Control & Optimization . 2022, Vol. 60 Issue 2, p674-698. 25p. - Publication Year :
- 2022
-
Abstract
- We extend the construction of equilibria for linear-quadratic and mean-variance portfolio problems available in the literature to a large class of mean-field time-inconsistent stochastic control problems in continuous time. Our approach relies on a time discretization of the control problem via n-person games, which are characterized via the maximum principle using backward stochastic differential equations. The existence of equilibria is proved by applying weak convergence arguments to the solutions of n-person games. A numerical implementation is provided by approximating n-person games using finite Markov chains. [ABSTRACT FROM AUTHOR]
- Subjects :
- *STOCHASTIC differential equations
*EQUILIBRIUM
*MARKOV processes
Subjects
Details
- Language :
- English
- ISSN :
- 03630129
- Volume :
- 60
- Issue :
- 2
- Database :
- Academic Search Index
- Journal :
- SIAM Journal on Control & Optimization
- Publication Type :
- Academic Journal
- Accession number :
- 155990054
- Full Text :
- https://doi.org/10.1137/20M1370446