Title

A Deterministic Linear Quadratic Time-Inconsistent Optimal Control Problem

Keywords

Linear-quadratic optimal control problem; Multi-person hierarchical differential games; Riccati-volterra integral equation system; Time-consistent equilibrium strategy; Time-inconsistency

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.

Publication Date

12-1-2011

Publication Title

Mathematical Control and Related Fields

Volume

1

Issue

1

Number of Pages

83-118

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.3934/mcrf.2011.1.83

Socpus ID

84865464613 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84865464613

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