Cover Image

Time-Inconsistent Stochastic Linear-quadratic Differential Game

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Zhou, Qinglong, Zong, Gaofeng
Format:	Preprint
Published:	2016
Subjects:	Mathematical Finance Probability 91A23, 60H10, 91B28
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Relative Arbitrage Opportunities with Interactions among $N$ Investors
by: Ichiba, Tomoyuki, et al.
Published: (2020)

Short-horizon Duesenberry Equilibrium
by: Londoño, Jaime Alberto
Published: (2026)

Measuring Financial Resilience Using Backward Stochastic Differential Equations
by: Laeven, Roger J. A., et al.
Published: (2025)

Nonconcave Robust Utility Maximization under Projective Determinacy
by: Carassus, Laurence, et al.
Published: (2024)

State spaces of multifactor approximations of nonnegative Volterra processes
by: Jaber, Eduardo Abi, et al.
Published: (2024)

Symmetry Analysis of Semi-Linear Partial Differential Equations and Forward Backward Stochastic Differential Equations
by: Ouknine, Anas, et al.
Published: (2025)

The fundamental theorem of asset pricing with and without transaction costs
by: Kühn, Christoph
Published: (2023)

Stochastic portfolio theory with price impact
by: Itkin, David
Published: (2025)

Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
by: Hu, Ying, et al.
Published: (2017)

Admitted symmetries of Backward Stochastic Differential Equations
by: Ouknine, Anas, et al.
Published: (2025)

Finding the nonnegative minimal solutions of Cauchy PDEs in a volatility-stabilized market
by: Yang, Nicole Tianjiao, et al.
Published: (2024)

No arbitrage and the existence of ACLMMs in general diffusion models
by: Criens, David, et al.
Published: (2024)

Mean Field Game of Mutual Holding with common noise
by: Bassou, Leila, et al.
Published: (2024)

Criteria for the absence of arbitrage in general diffusion markets
by: Criens, David, et al.
Published: (2023)

On Inhomogeneous Affine Volterra Processes: Stationarity and Applications to the Volterra Heston Model
by: Gnabeyeu, Emmanuel, et al.
Published: (2025)

On Stochastic Partial Differential Equations and their applications to Derivative Pricing through a conditional Feynman-Kac formula
by: Das, Kaustav, et al.
Published: (2021)

Call Option Price using Pearson Diffusion Processes
by: Kar, Tapan, et al.
Published: (2025)

One Currency, Two Forward Prices: The Onshore-Offshore Renminbi Puzzle
by: Drapeau, Samuel, et al.
Published: (2026)

Extreme ATM skew in a local volatility model with discontinuity: joint density approach
by: Gairat, Alexander, et al.
Published: (2023)

From Gini index as a Lyapunov functional to convergence in Wasserstein distance
by: Cao, Fei
Published: (2024)

On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
by: Xodarev, Akmal
Published: (2026)

Choice of Collateral Currency in Differential Swaps
by: Ding, Yining, et al.
Published: (2026)

Gatheral double stochastic volatility model with Skorokhod reflection
by: Mishura, Yuliya, et al.
Published: (2025)

Relative Arbitrage Opportunities in an Extended Mean Field System
by: Yang, Nicole Tianjiao, et al.
Published: (2023)

Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
by: Alòs, Elisa, et al.
Published: (2025)

Time evaluation of portfolio for asymmetrically informed traders
by: D'Auria, Bernardo, et al.
Published: (2024)

Understanding the Commodity Futures Term Structure Through Signatures
by: Krishnan, Hari P., et al.
Published: (2025)

Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach
by: Han, Bingyan, et al.
Published: (2023)

An Integral Equation in Portfolio Selection with Time-Inconsistent Preferences
by: Liang, Zongxia, et al.
Published: (2024)

Short-rate models with stochastic discontinuities: a PDE approach
by: Calvia, Alessandro, et al.
Published: (2025)

Stochastic factors can matter: improving robust growth under ergodicity
by: Binkert, Balint, et al.
Published: (2025)

A Tokenized Sovereign Debt Conversion Mechanism for Dynamic Public Debt Reduction
by: Firouzi, Kiarash
Published: (2025)

Cross-Currency Basis Swaps Referencing Backward-Looking Rates
by: Ding, Yining, et al.
Published: (2024)

From constant to rough: A survey of continuous volatility modeling
by: Di Nunno, Giulia, et al.
Published: (2023)

On Merton's Optimal Portfolio Problem with Sporadic Bankruptcy for Isoelastic Utility
by: Kopeliovich, Yaacov, et al.
Published: (2024)

Intertemporal Cost-efficient Consumption
by: Elizalde, Mauricio, et al.
Published: (2024)

On time-consistent equilibrium stopping under aggregation of diverse discount rates
by: Deng, Shuoqing, et al.
Published: (2023)

Measure-Valued CARMA Processes
by: Benth, Fred Espen, et al.
Published: (2025)

On the Foundations of Dynamic Games and Probability: Decision Making in Stochastic Extensive Form
by: Rapsch, E. Emanuel
Published: (2025)

Existence of affine realizations for stochastic partial differential equations driven by Lévy processes
by: Tappe, Stefan
Published: (2019)