TIME-INCONSISTENT OPTIMAL CONTROL PROBLEMS WITH REGIME-SWITCHING

被引：9
|
作者：
Wei, Jiaqin [1 ]
机构：
[1] East China Normal Univ, Sch Stat, 500 Dongchuan Rd, Shanghai 200241, Peoples R China
来源：
MATHEMATICAL CONTROL AND RELATED FIELDS | 2017年 / 7卷 / 04期
基金：
中国国家自然科学基金;
关键词：
Time-inconsistence; regime-switching; multi-person game; equilibrium Hamilton-Jacobi-Bellman equation; linear-quadratic control; INVESTMENT; CONSUMPTION;
D O I：
10.3934/mcrf.2017022
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, a time-inconsistent optimal control problem is studied for diffusion processes modulated by a continuous-time Markov chain. In the performance functional, the running cost and terminal cost depend on not only the initial time, but also the initial state of the Markov chain. By modifying the method of multi-person game, we obtain an equilibrium HamiltonJacobi-Bellman equation under proper conditions. The well-posedness of this equilibrium HJB Equation is studied in the case where the diffusion term is independent of the control variable. Furthermore, a time -inconsistent linear quadratic control problem is considered as a special case.
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页码：585 / 622
页数：38
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