Qian Lei

Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences

S3 B2-A28 Nanyang Avenue

Singapore, 639798

Singapore

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An Extended McKean — Vlasov Dynamic Programming Approach to Robust Equilibrium Controls under Ambiguous Covariance Matrix

Number of pages: 34 Posted: 16 May 2020
Qian Lei and Chi Seng Pun
Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences and Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences
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Abstract:

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Time-Inconsistency, Ambiguous Covariance Matrix, McKean — Vlasov Dynamics, Extended Dynamic Programming, Bellman — Isaacs PDE System, Portfolio Selection