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Equilibrium controls in time inconsistent stochastic linear quadratic problems
Optimization and Control · Submitted 4 Feb 2018
abstract compiled · 2026-09-23 · no language-model review
The authors' main claim Three notions, i.e., closed-loop equilibrium controls/strategies, open-loop equilibrium controls and their closed-loop representations, are characterized in unified manners.
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The abstract, sentence by sentence
This paper deals with a class of time inconsistent stochastic linear quadratic (SLQ) optimal control problems in Markovian framework. Three notions, i.e., closed-loop equilibrium controls/strategies, open-loop equilibrium controls and their closed-loop representations, are characterized in unified manners. These results indicate clearer and deeper distinctions among these notions. For example, in particular time consistent setting, the open-loop equilibrium controls are fully characterized by first-order, second-order necessary optimality conditions, and become needlessly optimal, while the closed-loop equilibrium controls naturally reduce into closed-loop optimal controls.
background contribution method result interpretation main claim
| # | sentence | role | the authors' own work | states the main conclusion | strength |
|---|---|---|---|---|---|
| s0 | This paper deals with a class of time inconsistent stochastic linear quadratic (SLQ) optimal control problems in Markovian framework. | background 0.79 | 0.47 | 0.04 | asserted 0.95 |
| s1 | Three notions, i.e., closed-loop equilibrium controls/strategies, open-loop equilibrium controls and their closed-loop representations, are characterized in unified manners. | contribution 0.69 | 0.90 | 0.31 | asserted 1.00 |
| s2 | These results indicate clearer and deeper distinctions among these notions. | interpretation 0.98 | 0.82 | 0.22 | hedged possibility 0.83 |
| s3 | For example, in particular time consistent setting, the open-loop equilibrium controls are fully characterized by first-order, second-order necessary optimality conditions, and become needlessly optimal, while the closed-loop equilibrium controls naturally reduce into closed-loop optimal controls. | result 0.61 | 0.81 | 0.25 | asserted 0.92 |
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Original abstract
This paper deals with a class of time inconsistent stochastic linear quadratic (SLQ) optimal control problems in Markovian framework. Three notions, i.e., closed-loop equilibrium controls/strategies, open-loop equilibrium controls and their closed-loop representations, are characterized in unified manners. These results indicate clearer and deeper distinctions among these notions. For example, in particular time consistent setting, the open-loop equilibrium controls are fully characterized by first-order, second-order necessary optimality conditions, and become needlessly optimal, while the closed-loop equilibrium controls naturally reduce into closed-loop optimal controls.
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