On time-inconsistent stochastic control in continuous time.
Tomas BjörkMariana KhapkoAgatha MurgociPublished in: Finance Stochastics (2017)
Keyphrases
- stochastic control
- optimal control
- queueing systems
- control problems
- markov processes
- brownian motion
- dynamic programming
- stochastic processes
- markov chain
- control law
- operations management
- reinforcement learning
- control strategy
- infinite horizon
- partial differential equations
- closed form
- arrival rate
- computer aided
- dynamical systems
- non stationary