TIME-INCONSISTENT RECURSIVE STOCHASTIC OPTIMAL CONTROL PROBLEMS

摘要

A time-inconsistent stochastic optimal control problem with a recursive cost functional is studied. Equilibrium strategy is introduced, which is time-consistent and locally approximately optimal. By means of multiperson hierarchical differential games associated with partitions of the time interval, a family of approximate equilibrium strategy is constructed, and by sending the mesh size of the time interval partition to zero, an equilibrium Hamilton Jacobi Bellman (HJB) equation is derived through which the equilibrium value function can be identified and the equilibrium strategy can be obtained. Moreover, a well-posedness result of the equilibrium HJB equation is established under certain conditions, and a verification theorem is proved. Finally, an illustrative example is presented, and some comparisons of different definitions of equilibrium strategy are put in order.