Time-Inconsistent Discrete-Time Stochastic Linear-Quadratic Optimal Control : Time-consistent Solutions

  title={Time-Inconsistent Discrete-Time Stochastic Linear-Quadratic Optimal Control : Time-consistent Solutions},
  author={Xun Li and Yuan-Hua Ni and J. Zhang},
In this paper, the time-consistent solutions of a timeinconsistent discrete-time stochastic linear-quadratic optimal control are investigated. Different from the existing literature, the definiteness constraint is not posed on the state and the control weight matrices of the cost functional. Necessary and sufficient conditions are, respectively, obtained to the existence of the open-loop time-consistent equilibrium control and the closedloop time-consistent equilibrium strategy, which contain… CONTINUE READING

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