Time-inconsistent recursive stochastic optimal control problems
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Abstract: In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a corresponding equilibrium Hamilton-Jacobi-Bellman (HJB, for short) equation is established to characterize the associated equilibrium value function. Moreover, a well-posedness result of the equilibrium HJB equation is established under certain conditions.
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