An Extended McKean–Vlasov Dynamic Programming Approach to Robust Equilibrium Controls Under Ambiguous Covariance Matrix

This paper studies a general class of time-inconsistent stochastic control problems under ambiguous covariance matrix. The time inconsistency is caused in various ways by a general objective functional and thus the associated control problem does not admit Bellman’s principle of optimality. Moreover...

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Bibliographic Details
Published in:	Applied mathematics & optimization Vol. 88; no. 3; p. 91
Main Authors:	Lei, Qian, Pun, Chi Seng
Format:	Journal Article
Language:	English
Published:	New York Springer US 01.12.2023 Springer Nature B.V
Subjects:	Calculus of Variations and Optimal Control; Optimization Control Covariance matrix Dynamic programming Equilibrium Game theory Mathematical and Computational Physics Mathematical Methods in Physics Mathematics Mathematics and Statistics Numerical and Computational Physics Optimal control Partial differential equations Principles Robust control Simulation Stochastic processes Systems Theory Theoretical Dynamic programming/optimal control 35B37 Extended dynamic programming Time inconsistency McKean–Vlasov dynamics Bellman–Isaacs PDE system 91B28 34H05 Ambiguous covariance matrix 91A40
ISSN:	0095-4616, 1432-0606
Online Access:	Get full text
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