A DETERMINISTIC LINEAR QUADRATIC TIME-INCONSISTENT OPTIMAL CONTROL PROBLEM
Abbreviated Journal Title
Math. Control Relat. Fields
Time-inconsistency; linear-quadratic optimal control problem; time-consistent equilibrium strategy; multi-person hierarchical; differential games; Riccati-Volterra integral equation system; Mathematics, Applied; Mathematics
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.
Mathematical Control and Related Fields
"A DETERMINISTIC LINEAR QUADRATIC TIME-INCONSISTENT OPTIMAL CONTROL PROBLEM" (2011). Faculty Bibliography 2010s. 2150.