On time-inconsistent stochastic control in continuous time

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DOI10.1007/s00780-017-0327-5zbMath1360.49013arXiv1612.03650OpenAlexW2592188887WikidataQ59522503 ScholiaQ59522503MaRDI QIDQ522052

Mariana Khapko, Agatha Murgoci, Thomas Björk

Publication date: 13 April 2017

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

Full work available at URL: https://arxiv.org/abs/1612.03650

zbMATH Keywords

dynamic programming Bellman equation stochastic control equilibrium hyperbolic discounting mean-variance time-consistency time-inconsistency time-inconsistent control

Mathematics Subject Classification ID

Noncooperative games (91A10) Dynamic programming in optimal control and differential games (49L20) Applications of optimal control and differential games (49N90) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Dynamic games (91A25) Optimality conditions for problems involving randomness (49K45) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10) Hamilton-Jacobi theories (49L99) Dynamic stochastic general equilibrium theory (91B51)

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