Title

Time-Inconsistent Optimal Control Problems

Keywords

Differential games; Equilibrium solution; Hamilton-Jacobi-Bellman equation; Linear-quadratic problem; Riccati equation; Stochastic optimal control; Time inconsistency

Abstract

An optimal control problem is time-consistent if for any initial pair of time and state, whenever there exists an optimal control, it will stay optimal thereafter. In real world, however, such kind of time-consistency is hardly true, mainly due to the time-inconsistency of decision maker's timepreference and/or risk-preference. In another word, most optimal control problems, if not all, are not time-consistent, or time-inconsistent. In this paper, some general time-inconsistent optimal control problems are formulated for stochastic differential equations. Recent works of the author concerning the (time-consistent) equilibrium solutions to the time-inconsistent problems are surveyed.

Publication Date

1-1-2014

Publication Title

Proceeding of the International Congress of Mathematicans, ICM 2014

Volume

4

Number of Pages

947-969

Document Type

Article; Proceedings Paper

Personal Identifier

scopus

Socpus ID

85039955409 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/85039955409

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