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Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem
Work
Year: 2019
Type: article
Abstract: In this paper, we propose a novel equilibrium solution notion for the time-inconsistent stochastic linear-quadratic problem. This notion is called the mixed equilibrium solution, which consists of two... more
Source: SIAM Journal on Control and Optimization
Authors Yuan-Hua Ni, Xun Li, Ji‐Feng Zhang, Miroslav Krstić
Institutions Nankai University, Hong Kong Polytechnic University, Chinese Academy of Sciences, University of California, San Diego
Cites: 23
Cited by: 15
Related to: 10
FWCI: 3.657
Citation percentile (by year/subfield): 86.08
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: green
Funders National Natural Science Foundation of China, National Natural Science Foundation of China, National Natural Science Foundation of China, National Natural Science Foundation of China, Ministry of Science and Technology of the People's Republic of China +2 more
Grant IDS 61877057, 61773222, 61227902, 11471242, 2014CB845301 +2 more