A Nash-type fictitious game between a real and an auxiliary player yields a new class of open-loop equilibrium policies for time-inconsistent linear-quadratic control, characterized by Riccati-like equations and applied to mean-variance portfolio selection.
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A Nash-Type Fictitious Game Framework to Time-Inconsistent Stochastic Control Problems
A Nash-type fictitious game between a real and an auxiliary player yields a new class of open-loop equilibrium policies for time-inconsistent linear-quadratic control, characterized by Riccati-like equations and applied to mean-variance portfolio selection.