On time-inconsistent stochastic control in continuous time
Year of publication: |
April 2017
|
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Authors: | Björk, Tomas ; Khapko, Mariana ; Murgoci, Agatha |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 2, p. 331-360
|
Subject: | Time consistency | Time inconsistency | Time inconsistent control | Dynamic programming | Stochastic control | Bellman equation | Hyperbolic discounting | Mean variance | Equilibrium | Zeitkonsistenz | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Dynamische Optimierung | Intertemporale Entscheidung | Intertemporal choice | Zeitökonomie | Economy of time | Diskontierung | Discounting | Portfolio-Management | Portfolio selection |
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