TIME-INCONSISTENT OPTIMAL CONTROL PROBLEMS AND THE EQUILIBRIUM HJB EQUATION

    Authors

    J. M. Yong

    Comments

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    Abbreviated Journal Title

    Math. Control Relat. Fields

    Keywords

    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

    Abstract

    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.

    Journal Title

    Mathematical Control and Related Fields

    Volume

    2

    Issue/Number

    3

    Publication Date

    1-1-2012

    Document Type

    Article

    Language

    English

    First Page

    271

    Last Page

    329

    WOS Identifier

    WOS:000321557000003

    ISSN

    2156-8472

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