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• W2160276057 abstract "In this paper, we consider a general time-inconsistent optimal control problem for a non homogeneous linear system, in which its state evolves according to a stochastic differential equation with deterministic coefficients, when the noise is driven by a Brownian motion and an independent Poisson point process. The running and the terminal costs in the objective functional, are explicitly dependent on some general discounting coefficients which cover the non-exponential and the hyperbolic discounting situations. Furthermore, the presence of some quadratic terms of the conditional expectation of the state process as well as a state-dependent term in the objective functional makes the problem time-inconsistent. Open-loop Nash equilibrium controls are constructed instead of optimal controls, by using a version of the stochastic maximum principle approach. This approach involves a stochastic system that consists of a flow of forward-backward stochastic differential equations and an equilibrium condition. As an application, we study some concrete examples." @default.
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• W2160276057 date "2015-05-18" @default.
• W2160276057 modified "2023-09-27" @default.
• W2160276057 title "The Maximum Principle in Time-Inconsistent LQ Optimal Control Problem for Jump Diffusions" @default.
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