Time-inconsistent control theory with finance applications

DOI10.1007/978-3-030-81843-2zbMATH Open1491.91003OpenAlexW3210858548MaRDI QIDQ5010004FDOQ5010004

Authors Mariana Khapko, Agatha Murgoci, Tomas Björk

Publication date 24 August 2021

Published in Springer Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-81843-2

zbMATH Keywords

optimal stoppingstochastic controlmathematical financetime-inconsistency

Mathematics Subject Classification ID

Applications of game theory (91A80) Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Noncooperative games (91A10) White noise theory (60H40) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Recommendations

• A theory of Markovian time-inconsistent stochastic control in discrete time
• On time-inconsistent stochastic control in continuous time
• Time-inconsistent optimal control problems and related issues
• Time-inconsistent optimal control problems and the equilibrium HJB equation
• Time-inconsistent optimal control problems

Cited in

(18)

• Equilibrium investment with random risk aversion
• Asset pricing with dynamically inconsistent agents
• Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting
• Robo-advising: optimal investment with mismeasured and unstable risk preferences
• A stochastic optimal stopping model for storable commodity prices
• Equilibria for time-inconsistent singular control problems
• Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’
• Sharp equilibria for time-inconsistent mean-field stopping games
• Time-inconsistent mean field and \(n\)-agent games under relative performance criteria
• New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
• Short Communication: Existence of Markov Equilibrium Control in Discrete Time
• Equilibria of time‐inconsistent stopping for one‐dimensional diffusion processes
• Stability of Equilibria in Time-Inconsistent Stopping Problems
• In memoriam: Tomas Björk (1947--2021). On his career and beyond
• Finite time stability of finance systems with or without market confidence using less control input
• Almost strong equilibria for time-inconsistent stopping problems under finite horizon in continuous time
• On the time consistent solution to optimal stopping problems with expectation constraint
• Present-biased lobbyists in linear-quadratic stochastic differential games

This page was built for publication: Time-inconsistent control theory with finance applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5010004)