Seminar Event Detail

Financial/Actuarial Mathematics

Date:  Wednesday, September 30, 2020
Location: Virtual (4:00 PM to 5:00 PM)

Title:  Time inconsistent optimal control problem and related issues

Abstract:   In this talk, we are going to first summarize the reasons for the appearance of time inconsistency in optimal control problems. Then, we will introduce the notions of open-loop and closed-loop equilibrium control/strategy for various types of problems. In the framework of general discounting problem, we will present a Pontryagin's type maximum principle for the open-loop equilibrium control and an equilibrium HJB equation, which is derived by introducing a family of multi-person differential games, for the closed-loop equilibrium strategy.

Files: 6828_WeiYan.pdf

Speaker:  Wei Yan
Institution:  UM

Event Organizer:     


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