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- W2951706493 abstract "In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of forward--backward stochastic differential equations. When the state is one dimensional and the coefficients in the problem are all deterministic, we prove that the explicit equilibrium control constructed in cite{HJZ} is indeed unique. Our proof is based on the derived equivalent condition for equilibria as well as a stochastic version of the Lebesgue differentiation theorem. Finally, we show that the equilibrium strategy is unique for a mean--variance portfolio selection model in a complete financial market where the risk-free rate is a deterministic function of time but all the other market parameters are possibly stochastic processes." @default.
- W2951706493 created "2019-06-27" @default.
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- W2951706493 date "2015-04-05" @default.
- W2951706493 modified "2023-10-17" @default.
- W2951706493 title "Time-Inconsistent Stochastic Linear--Quadratic Control: Characterization and Uniqueness of Equilibrium" @default.
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- W2951706493 doi "https://doi.org/10.48550/arxiv.1504.01152" @default.
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