Time-inconsistent optimal control problems and the equilibrium HJB equation
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equilibrium Hamilton-Jacobi-Bellman equationequilibrium value functionforward-backward stochastic differential equationtime-inconsistent optimal control problem
PDEs in connection with control and optimization (35Q93) Dynamic programming in optimal control and differential games (49L20) Linear-quadratic optimal control problems (49N10) Differential games and control (49N70) Differential games (aspects of game theory) (91A23) Hierarchical games (including Stackelberg games) (91A65) Optimal stochastic control (93E20)
Abstract: A general time-inconsistent optimal control problem is considered for stochastic differential equations with deterministic coefficients. Under suitable conditions, a Hamilton-Jacobi-Bellman type equation is derived for the equilibrium value function of the problem. Well-posedness and some properties of such an equation is studied, and time-consistent equilibrium strategies are constructed. As special cases, the linear-quadratic problem and a generalized Merton's portfolio problem are investigated.
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