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most citedOn the Well-posedness of Hamilton-Jacobi-Bellman Equations of the Equilibrium Type

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math.OC2025

Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach

Bingyan Han, Chi Seng Pun, Hoi Ying Wong

This paper studies robust time-inconsistent (TIC) linear-quadratic stochastic control problems, formulated by stochastic differential games. By a spike variation approach, we deriv…