On time-inconsistent stochastic control in continuous time

In this paper, which is a continuation of the discrete-time paper (Björk and Murgoci in Finance Stoch. 18:545–592, 2004 ), we study a class of continuous-time stochastic control problems which, in various ways, are time-inconsistent in the sense that they do not admit a Bellman optimality principle....

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Vydáno v:	Finance and stochastics Ročník 21; číslo 2; s. 331 - 360
Hlavní autoři:	Björk, Tomas, Khapko, Mariana, Murgoci, Agatha
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	Berlin/Heidelberg Springer Berlin Heidelberg 01.04.2017 Springer Nature B.V
Témata:	Dynamic programming Economic theory Economic Theory/Quantitative Economics/Mathematical Methods Economics Equilibrium Finance Game theory Inconsistency Insurance Management Markov analysis Mathematics Mathematics and Statistics Probability Theory and Stochastic Processes Quantitative Finance Statistics for Business Stochastic models Studies Time Verification Bellman equation 60J70 G11 Time-inconsistency G12 Equilibrium 49L99 D5 91A10 Time-consistency Hyperbolic discounting Time-inconsistent control 91B02 49N90 91B25 Stochastic control Dynamic programming Mean-variance 91A80 91B51 91G80 C73 C61 C72
ISSN:	0949-2984, 1432-1122
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