Closed-Loop Equilibrium Strategies for General Time-Inconsistent Optimal Control Problems

DOI10.1137/20M1377242zbMath1471.91517MaRDI QIDQ3382777

Harry Zheng, Tian Xiao Wang

Publication date: 22 September 2021

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/20m1377242

zbMATH Keywords

random coefficients; closed-loop equilibrium strategy; time-inconsistent optimal control; BSPDEs; integral and pointwise characterizations

Mathematics Subject Classification ID

93E20: Optimal stochastic control

91G10: Portfolio theory

Related Items

Time-inconsistent stochastic linear-quadratic control problem with indefinite control weight costs, Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications, Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies

Cites Work

• Unnamed Item
• Unnamed Item
• On time-inconsistent stochastic control in continuous time
• Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems
• Investment and consumption without commitment
• Consumption and portfolio rules for time-inconsistent investors
• Time-inconsistent optimal control problems and the equilibrium HJB equation
• Necessary conditions in stochastic linear quadratic problems and their applications
• On semi-linear degenerate backward stochastic partial differential equations
• The golden rule when preferences are time inconsistent
• Equilibrium controls in time inconsistent stochastic linear quadratic problems
• Backward stochastic Volterra integral equations -- representation of adapted solutions
• A regular equilibrium solves the extended HJB system
• Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation
• Time-Consistent Portfolio Management
• General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion
• On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time
• Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation
• Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers
• Utility-Deviation-Risk Portfolio Selection
• MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
• Contracting with Diversely Naive Agents