Financial Math Seminar

On time inconsistent stochastic linear quadratic problems

  • 演讲者:王天啸(四川大学)

  • 时间:2020-08-18 15:00-16:00

  • 地点:腾讯会议 ID 593873380

摘要:In this talk, we will give some discussions on time inconsistent stochastic linear quadratic optimal control problems in terms of open-loop equilibrium controls and closed-loop equilibrium strategies. As special cases, we present some recent conclusion on dynamic mean-variance portfolio selection problems with random coefficients, where several interesting phenomena are revealed due to the randomness of the coefficients.