[图书][B] Time-inconsistent control theory with finance applications
The purpose of this book is to present an overview of, and introduction to, the time-
inconsistent control theory developed by the authors during the last decade. The theory is …
inconsistent control theory developed by the authors during the last decade. The theory is …
Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
C Hernández, D Possamaï - The Annals of Applied Probability, 2023 - projecteuclid.org
We develop a theory for continuous-time non-Markovian stochastic control problems which
are inherently time-inconsistent. Their distinguishing feature is that the classical Bellman …
are inherently time-inconsistent. Their distinguishing feature is that the classical Bellman …
On the equilibrium strategies for time-inconsistent problems in continuous time
In a continuous-time setting, the existing notion of equilibrium strategies for time-inconsistent
problems in the literature, referred to as weak equilibrium, is not fully aligned with the …
problems in the literature, referred to as weak equilibrium, is not fully aligned with the …
[HTML][HTML] On time-inconsistent stopping problems and mixed strategy stopping times
S Christensen, K Lindensjö - Stochastic Processes and their Applications, 2020 - Elsevier
A game-theoretic framework for time-inconsistent stopping problems where the time-
inconsistency is due to the consideration of a non-linear function of an expected reward is …
inconsistency is due to the consideration of a non-linear function of an expected reward is …
Equilibrium concepts for time‐inconsistent stopping problems in continuous time
A new notion of equilibrium, which we call strong equilibrium, is introduced for time‐
inconsistent stopping problems in continuous time. Compared to the existing notions …
inconsistent stopping problems in continuous time. Compared to the existing notions …
Who are I: Time inconsistency and intrapersonal conflict and reconciliation
Time inconsistency is prevalent in dynamic choice problems: a plan of actions to be taken in
the future that is optimal for an agent today may not be optimal for the same agent in the …
the future that is optimal for an agent today may not be optimal for the same agent in the …
Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes
We consider three equilibrium concepts proposed in the literature for time‐inconsistent
stopping problems, including mild equilibria (introduced in Huang and Nguyen‐Huu (2018)) …
stopping problems, including mild equilibria (introduced in Huang and Nguyen‐Huu (2018)) …
Optimal stopping under model ambiguity: A time‐consistent equilibrium approach
An unconventional approach for optimal stopping under model ambiguity is introduced.
Besides ambiguity itself, we take into account how ambiguity‐averse an agent is. This …
Besides ambiguity itself, we take into account how ambiguity‐averse an agent is. This …
Dynamic mean–variance problem with frictions
We study a dynamic mean–variance portfolio selection problem with return predictability and
trading frictions from price impact. Applying mean-field type control theory, we provide a …
trading frictions from price impact. Applying mean-field type control theory, we provide a …
Failure of smooth pasting principle and nonexistence of equilibrium stopping rules under time-inconsistency
This paper considers time-inconsistent stopping problems in which the inconsistency arises
from a class of nonexponential discount functions called weighted discount functions. We …
from a class of nonexponential discount functions called weighted discount functions. We …