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20232026
most citedPartial Information in a Mean-Variance Portfolio Selection Game

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math.OC2026

Policy Iteration Achieves Regularized Equilibrium under Time Inconsistency

Yu-Jui Huang, Xiang Yu, Keyu Zhang

For a general entropy-regularized time-inconsistent stochastic control problem, we propose a policy iteration algorithm (PIA) and establish its convergence to an equilibrium policy…