A DETERMINISTIC LINEAR QUADRATIC TIME-INCONSISTENT OPTIMAL CONTROL PROBLEM

    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

    Language

    English

    First Page

    83

    Last Page

    118

    WOS Identifier

    WOS:000208738000005

    ISSN

    2156-8472

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