| Abstract: |
| In this talk, a time-inconsistent stochastic optimal control problem with a recursive cost functional is studied. Equilibrium strategy is introduced, which is time-consistent and locally approximately optimal. By means of multi-person hierarchical differential games associated with partitions of the time interval, a family of approximate equilibrium strategy is constructed and by sending the mesh size of the time interval partition to zero, an equilibrium Hamilton-Jacobi-Bellman (HJB, for short) equation is derived through which the equilibrium value function can be identified and the equilibrium strategy can be obtained. Moreover, a well-posedness result of the equilibrium HJB equation is established under certain conditions, and a verification theorem is proved. This talk is based a joint work with Dr. Qingmeng Wei and Prof. Jiongmin Yong. |
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