Title

Time-Inconsistent Optimal Control Problems And The Equilibrium Hjb Equation

Keywords

Equilibrium hamilton-jacobi-bellman equation; Equilibrium value function; Forward-backward stochastic differential equation; Time-inconsistent optimal control problem

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.

Publication Date

12-1-2012

Publication Title

Mathematical Control and Related Fields

Volume

2

Issue

3

Number of Pages

271-329

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.3934/mcrf.2012.2.271

Socpus ID

84883754241 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84883754241

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