Time-Inconsistent Regulator Problems

Tomas Bjork, Mariana Khapko () and Agatha Murgoci ()
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Mariana Khapko: University of Toronto
Agatha Murgoci: Ørsted

Chapter Chapter 9 in Time-Inconsistent Control Theory with Finance Applications, 2021, pp 95-100 from Springer

Abstract: Abstract In this chapter we study two time-inconsistent versions of the classical linear quadratic regulator. In the first version, time inconsistency enters through a quadratic function of the expected value. In the second version, time inconsistency enters through an explicit dependence of the initial state in the quadratic term. As time passes, the final target point changes.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-030-81843-2_9

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DOI: 10.1007/978-3-030-81843-2_9

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