Title

TIME-INCONSISTENT OPTIMAL CONTROL PROBLEMS AND THE EQUILIBRIUM HJB EQUATION

Authors

Authors

J. M. Yong

Comments

Authors: contact us about adding a copy of your work at STARS@ucf.edu

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

DOI Link

http://dx.doi.org/10.3934/mcrf.2012.2.271

Language

English

First Page

271

Last Page

329

WOS Identifier

WOS:000321557000003

ISSN

2156-8472

Recommended Citation

"TIME-INCONSISTENT OPTIMAL CONTROL PROBLEMS AND THE EQUILIBRIUM HJB EQUATION" (2012). Faculty Bibliography 2010s. 3537.
https://stars.library.ucf.edu/facultybib2010/3537