A Constructive Approach to Existence of Equilibria in Time-Inconsistent Stochastic Control Problems

DOI10.1137/20M1370446zbMath1484.91437arXiv2104.14334OpenAlexW3158282027MaRDI QIDQ5065055

Jiang Yu Nguwi, Nicolas Privault

Publication date: 18 March 2022

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.14334

zbMATH Keywords

maximum principlestochastic controltime inconsistency\(n\)-person gamesbackward SDEsMarkov chain approximation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Portfolio theory (91G10)

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