A constructive approach to existence of equilibria in time-inconsistent stochastic control problems
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Abstract: We extend the construction of equilibria for linear-quadratic and mean-variance portfolio problems available in the literature to a large class of mean-field time-inconsistent stochastic control problems in continuous time. Our approach relies on a time discretization of the control problem via n-person games, which are characterized via the maximum principle using Backward Stochastic Differential Equations (BSDEs). The existence of equilibria is proved by applying weak convergence arguments to the solutions of n-person games. A numerical implementation is provided by approximating n-person games using finite Markov chains.
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Cited in
(7)- A theory of Markovian time-inconsistent stochastic control in discrete time
- Strong and weak equilibria for time-inconsistent stochastic control in continuous time
- On the equilibrium strategies for time-inconsistent problems in continuous time
- On time-inconsistent stochastic control in continuous time
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- Time-inconsistent LQ games for large-population systems and applications
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