Deterministic time-inconsistent optimal control problems -- an essentially cooperative approach

DOI10.1007/s10255-012-0120-3zbMath1355.49022OpenAlexW2121854456MaRDI QIDQ511060

Jiong-min Yong

Publication date: 14 February 2017

Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10255-012-0120-3

zbMATH Keywords

time-inconsistencymulti-level hierarchical differential gamespre-committed optimal controltime-consistent equilibrium control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Linear-quadratic optimal control problems (49N10)

Related Items

Consumption-investment strategies with non-exponential discounting and logarithmic utility, Time-inconsistent stochastic LQ problem with regime switching, Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions, Time-consistent consumption-portfolio control problems with regime-switching-modulated habit formation: an essentially cooperative approach, A singular linear quadratic time-inconsistent optimal control problem, Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems, Time-Inconsistent Recursive Stochastic Optimal Control Problems, Investment-consumption-insurance optimisation problem with multiple habit formation and non-exponential discounting, Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem, A solvable time-inconsistent principal-agent problem, Time-inconsistent risk-sensitive equilibrium for countable-stated Markov decision processes, A non-exponential discounting time-inconsistent stochastic optimal control problem for jump-diffusion, On ConnectedmMultiply 2 dimensions Composite Hyperplane Complete Graph's Residual Graphs, Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I, Closed-Loop Equilibrium for Time-Inconsistent McKean--Vlasov Controlled Problem, Time-inconsistent optimal control problem with random coefficients and stochastic equilibrium HJB equation

Cites Work

• Unnamed Item
• Unnamed Item
• Investment and consumption without commitment
• Time-inconsistent preferences in a general equilibrium model
• Optimal control theory
• Non-constant discounting in finite horizon: the free terminal time case
• Consistent Plans
• Golden Eggs and Hyperbolic Discounting
• Consumption-Savings Decisions with Quasi-Geometric Discounting
• On the Existence of a Consistent Course of Action when Tastes are Changing