Time-Inconsistent Optimal Control Problems and the Equilibrium HJB Equation

By Jiongmin Yong. 2012

167 citations recorded by the source corpus.

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.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/e0bab23472356f7b2ca8a7bb59eac696332a1e0d

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In Demography

1. Jiongmin Yong

In Finance

1. Jiongmin Yong
2. Jingrui Sun
3. P. J. Graber
4. Jianfeng Zhang
5. Jin Ma
6. Detao Zhang
7. Zhen Wu

In Management Science and Operations Research

1. Jiongmin Yong

Citations in the corpus

• Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations --- Time-Consistent Solutions (2013, background): “This coincides with a special case of the general result found in [27].”