Nonlocal fully nonlinear parabolic differential equations arising in time-inconsistent problems

DOI10.1016/j.jde.2023.02.025OpenAlexW4321484991MaRDI QIDQ2696218

Chi Seng Pun, Qian Lei

Publication date: 11 April 2023

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2110.04237

zbMATH Keywords

existence and uniquenesstime inconsistencyparametric PDEsFBSDEmathematics of behavioral economicsnonlocal nonlinear parabolic PDEs

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Partial differential equations (35-XX) Optimality conditions (49Kxx)

Related Items (4)

An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix ⋮ Present-biased lobbyists in linear-quadratic stochastic differential games ⋮ Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations ⋮ Nonlocality, nonlinearity, and time inconsistency in stochastic differential games

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