TIME-INCONSISTENT OPTIMAL CONTROL PROBLEMS AND THE EQUILIBRIUM HJB EQUATION
Abbreviated Journal Title
Math. Control Relat. Fields
Time-inconsistent optimal control problem; equilibrium value function; equilibrium Hamilton-Jacobi-Bellman equation; forward-backward; stochastic differential equation; VOLTERRA INTEGRAL-EQUATIONS; PREFERENCES; ECONOMIES; GAMES; Mathematics, Applied; Mathematics
A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value function of the problem. Well-posedness such an equation is studied, and time-consistent equilibrium strategies are constructed. As special cases, the linear-quadratic problem and a generalized Merton's portfolio problem are investigated.
Mathematical Control and Related Fields
"TIME-INCONSISTENT OPTIMAL CONTROL PROBLEMS AND THE EQUILIBRIUM HJB EQUATION" (2012). Faculty Bibliography 2010s. 3537.