On time inconsistent stochastic linear quadratic problems
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Speaker: WANG Tianxiao (Sichuan University)
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Time: Aug 18, 2020, 15:00-16:00
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Location: Tencent meeting ID: 593873380
Abstract：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.
