Closed-loop Equilibrium for Time-Inconsistent McKean-Vlasov Controlled Problem
Optimization and Control
2020-02-18 v1
Abstract
The paper deals with a class of time-inconsistent control problems for McKean-Vlasov dynamics. By solving a backward time-inconsistent Hamilton-Jacobi-Bellman (HJB for short) equation coupled with a forward distribution-dependent stochastic differential equation, we investigate the existence and uniqueness of a closed-loop equilibrium for such time-inconsistent distribution-dependent control problem. Moreover, a special case of semi-linear McKean-Vlasov dynamics with a quadratic-type cost functional is considered due to its special structure.
Cite
@article{arxiv.2002.06952,
title = {Closed-loop Equilibrium for Time-Inconsistent McKean-Vlasov Controlled Problem},
author = {Hongwei Mei and Chao Zhu},
journal= {arXiv preprint arXiv:2002.06952},
year = {2020}
}