SIAM Journal on Control and Optimization, Vol.58, No.1, 485-509, 2020
TIME-INCONSISTENT LINEAR QUADRATIC OPTIMAL CONTROL PROBLEMS FOR STOCHASTIC EVOLUTION EQUATIONS
We study linear-quadratic optimal control problems with time-inconsistent cost functionals for stochastic evolution equations in a Hilbert space. A closed-loop equilibrium strategy is introduced for these control problems. By means of multiperson differential games, we prove the existence of such a strategy.
Keywords:linear-quadratic optimal control;time-inconsistent cost functional;closed-loop equilibrium strategy