Time-Inconsistent Consumption-Investment Problems in Incomplete Markets under General Discount Functions
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Publication:4994992
DOI10.1137/19M1303782zbMath1467.91160arXiv1912.01281OpenAlexW3176786457MaRDI QIDQ4994992
Publication date: 22 June 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1912.01281
incomplete marketforward-backward stochastic differential equationopen-loop equilibriumtime-inconsistency
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10)
Related Items (3)
Subgame-perfect equilibrium strategies for time-inconsistent recursive stochastic control problems ⋮ Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems ⋮ Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
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