|Date: Wednesday, September 30, 2020
Location: https://umich.zoom.us/j/95407665241 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.
Speaker: Wei Yan