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Forward-backward stochastic...
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Robust Time-Inconsistent Stochastic Linear-Quadratic Control with Drift Disturbance
Journal article
Applied Mathematics and Optimization,2022, volume: 86, issue: 1
Authors:
Han, Bingyan
;
Pun, Chi-Seng
;
Wong, Hoi-Ying
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Submit date：2022/09/05
Forward-backward stochastic differential equation
Robust control
Stochastic linear-quadratic control
Time-inconsistent preference
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