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SIAM Journal on Control and Optimization, Vol.58, No.6, 3842-3867, 2020
CLOSED-LOOP EQUILIBRIUM FOR TIME-INCONSISTENT MCKEAN-VLASOV CONTROLLED PROBLEM
The paper deals with a class of time-inconsistent control problems for McKean-Vlasov dynamics. By solving a backward equilibrium Hamilton-Jacobi-Bellman equation coupled with a forward distribution-dependent stochastic differential equation, we investigate the existence and uniqueness of a closed-loop Makovian equilibrium for such time-inconsistent distribution-dependent control problem. Moreover, a special case of semilinear McKean-Vlasov dynamics with a quadratic-type cost functional is considered due to its special structure.