Robust time-inconsistent stochastic control problems

Pun, CS

Pun, CS (reprint author), Nanyang Technol Univ, Sch Phys & Math Sci, Singapore, Singapore.

AUTOMATICA, 2018; 94 (): 249

Abstract

This paper establishes a general analytical framework for continuous-time stochastic control problems for an ambiguity-averse agent (AAA) with time-in......

Full Text Link