A theory of Markovian time-inconsistent stochastic control in discrete time

DOI10.1007/s00780-014-0234-yzbMath1297.49038OpenAlexW2075090252MaRDI QIDQ457182

Publication date: 26 September 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-014-0234-y

zbMATH Keywords

optimal control game theory dynamic programming Bellman equation stochastic control optimal value function hyperbolic discounting mean-variance equilibrium strategy controlled Markov process time-inconsistent control

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Noncooperative games (91A10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Financial applications of other theories (91G80) Stochastic games, stochastic differential games (91A15) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10) Hamilton-Jacobi theories (49L99) Existence of optimal solutions to problems involving randomness (49J55)

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