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Time-Inconsistent Control Theory with Finance Applications
Book

Time-Inconsistent Control Theory with Finance Applications

Tomas Björk, Mariana Khapko and Agatha Murgoci
Springer Finance, Springer International Publishing, 1st
2021-07-12
DOI: https://doi.org/10.1007/978-3-030-81843-2

Abstract

time-inconsistent control intrapersonal equilibrium dynamic programming stochastic control Bellman equation time-inconsistent stopping non-exponential discounting hyperbolic discounting state-dependent risk aversion linear quadratic regulator
Offers a systematic treatment of time-inconsistent stochastic control and stopping problems Provides a game-theoretic approach to time inconsistency Treats both discrete and continuous time problems, and includes many applications to finance

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