Topic:Uniqueness of the solution to a Linear-Quadratic control problem without time consistence

Speaker:Hanqing Jin(The University of Oxford)


Venue:  Wangdaohan Conference Room, Lingnan Hall

Languages: English, Chinese



      The Linear-Quadratic (LQ) control problem without time consistence was inspired by the mean-variance portfolio selection in a continuous time financial market. Control problems without time consistence has been studied by many researched,  especially in the last 5 years. But most literature focus on the framework and adhoc construction of solutions for special classes,  including our work on for the LQ problem. In this paper, we prove that the solution we obtained in our previous work is the only one.  This is the first uniqueness of solutions to a time inconsistent problem in literature.



      Hanqing Jin is an Associate Professor in the University of Oxford.  He received his Mphil. in Mathematics from Nankai University in 2001, and the PhD in Financial Engineering from the Chinese University of Hong Kong in 2004.  After then, he worked in the same Department for another two years, and then moved to the National University of Singapore in 2006.  His research interests include Mathematical Finance, Operation Research, and  Applied Stochastic Analysis. His research focuses on portfolio selection,  behavioral finance and time consistency in financial decision making.