Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic control problem originally formulated in [Y. Hu, H. Jin, and X. Y. Zhou, SIAM J. Control. Optim., 50 (2012), pp. 1548--1572]. We derive a necessary and sufficient condition for equilibrium controls via a flow of forward--backward stochastic …