A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion

DOI10.3934/MCRF.2019025MaRDI QIDQ2280175zbMATH OpenOpenAlexWikidataFDO

Authors Ishak Alia

Publication date 18 December 2019

Published in Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/mcrf.2019025

zbMATH Keywords

dynamic programming principleequilibrium controlnon-exponential discountingPoisson point processstochastic controlstochastic maximum principletime-inconsistency

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Jump processes on general state spaces (60J76) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cited in

(17)

• Extended backward stochastic Volterra integral equations and their applications to time-inconsistent stochastic recursive control problems
• On dividend strategies with non-exponential discounting
• Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes
• Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps
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• Equilibria for time-inconsistent singular control problems
• Time-inconsistent linear-quadratic social optima for large population system
• On stochastic control problems with higher-order moments
• Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems
• Non-exponential discounting portfolio management with habit formation
• Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach

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