On time-inconsistent stochastic control in continuous time
On time-inconsistent stochastic control in continuous time
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Publisher
Berlin/Heidelberg: Springer Berlin Heidelberg
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Language
English
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Publisher
Berlin/Heidelberg: Springer Berlin Heidelberg
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Contents
In this paper, which is a continuation of the discrete-time paper (Björk and Murgoci in Finance Stoch. 18:545–592,
2004
), we study a class of continuous-time stochastic control problems which, in various ways, are time-inconsistent in the sense that they do not admit a Bellman optimality principle. We study these problems within a game-theor...
Alternative Titles
Full title
On time-inconsistent stochastic control in continuous time
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Author / Creator
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Record Identifier
TN_cdi_swepub_primary_oai_hhs_se_1155092750006056
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_swepub_primary_oai_hhs_se_1155092750006056
Other Identifiers
ISSN
0949-2984
E-ISSN
1432-1122
DOI
10.1007/s00780-017-0327-5
