Stochastic switching diffusion

Tuesday, May 8, 2018 - 4:00pm - 4:30pm
Hongwei Mei (University of Kansas)
We consider an optimal control problem for a stochastic differential equation containing a state-dependent regime switching, with a recursive cost functional. Due to the non-exponential discounting in the cost functional, the problem is time-inconsistent in general. Therefore, instead of finding a global optimal control (which is not possible), we look for a time-consistent (approximately) locally optimal equilibrium strategy.
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