Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
From MaRDI portal
Publication:6104000
DOI10.1214/22-aap1845zbMath1525.60073arXiv2002.12572OpenAlexW3008941192MaRDI QIDQ6104000
Dylan Possamaï, Camilo Hernández
Publication date: 5 June 2023
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2002.12572
backward stochastic differential equationstime inconsistencymean-varianceconsistent planningnonexponential discounting
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) General theory of stochastic processes (60G07)
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