Dynamic approaches for some time-inconsistent optimization problems

DOI10.1214/17-AAP1284zbMath1385.49019arXiv1604.03913OpenAlexW2771758737MaRDI QIDQ1704140

Peng Zhang

Publication date: 8 March 2018

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.03913

zbMATH Keywords

comparison principledualitystochastic maximum principlemaster equationtime inconsistencydynamic programming principlepath derivativedynamic utility

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Social and behavioral sciences: general topics (91C99) Duality theory (optimization) (49N15) Optimality conditions for problems involving randomness (49K45) PDEs on infinite-dimensional (e.g., function) spaces (= PDEs in infinitely many variables) (35R15)

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