Title

A DETERMINISTIC LINEAR QUADRATIC TIME-INCONSISTENT OPTIMAL CONTROL PROBLEM

Authors

Authors

J. M. Yong

Comments

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Abbreviated Journal Title

Math. Control Relat. Fields

Keywords

Time-inconsistency; linear-quadratic optimal control problem; time-consistent equilibrium strategy; multi-person hierarchical; differential games; Riccati-Volterra integral equation system; Mathematics, Applied; Mathematics

Abstract

A time-inconsistent optimal control problem is formulated and studied for a controlled linear ordinary differential equation with a quadratic cost functional. A notion of time-consistent equilibrium strategy is introduced for the original time-inconsistent problem. Under certain conditions, we construct an equilibrium strategy which can be represented via a Riccati-Volterra integral equation system. Our approach is based on a study of multi-person hierarchical differential games.

Journal Title

Mathematical Control and Related Fields

Volume

1

Issue/Number

1

Publication Date

1-1-2011

Document Type

Article

DOI Link

http://dx.doi.org/10.3934/mcrf.2011.1.83

Language

English

First Page

83

Last Page

118

WOS Identifier

WOS:000208738000005

ISSN

2156-8472

Recommended Citation

"A DETERMINISTIC LINEAR QUADRATIC TIME-INCONSISTENT OPTIMAL CONTROL PROBLEM" (2011). Faculty Bibliography 2010s. 2150.
https://stars.library.ucf.edu/facultybib2010/2150