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Time inconsistent stochastic control in continuous time : theory and examples
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha - 2016
In this paper, which is a continuation of a previous discrete time paper, we develop a theory for continuous time … determination for the equilibrium strategy as well as the equilibrium value function. As applications of the general theory we study …
Persistent link: https://www.econbiz.de/10011646331
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Exponential utility maximization for an insurer with time-inconsistent preferences
Zhao, Qian; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 70 (2016), pp. 89-104
Persistent link: https://www.econbiz.de/10011597189
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Robust asset pricing with stochastic hyperbolic discounting
Wang, Haijun - In: Finance research letters 21 (2017), pp. 178-185
Persistent link: https://www.econbiz.de/10011807766
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A theory of Markovian time-inconsistent stochastic control in discrete time
Björk, Tomas; Murgoci, Agatha - In: Finance and stochastics 18 (2014) 3, pp. 545-592
Persistent link: https://www.econbiz.de/10010396002
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Rural land development under hyperbolic discounting : a real option approach
Di Corato, Luca - In: Letters in spatial and resource sciences : LSRS 11 (2018) 2, pp. 167-182
Persistent link: https://www.econbiz.de/10011962460
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On time-inconsistent stochastic control in continuous time
Björk, Tomas; Khapko, Mariana; Murgoci, Agatha - In: Finance and stochastics 21 (2017) 2, pp. 331-360
Persistent link: https://www.econbiz.de/10011944378
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Credibility and time inconsistency in a stochastic world
Currie, David A.; Levine, Paul - 1986
Persistent link: https://www.econbiz.de/10000688811
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Dynamic risk measures : time consistency and risk measures from BMO martingales
Bion-Nadal, Jocelyne - In: Finance and stochastics 12 (2008) 2, pp. 219-244
Persistent link: https://www.econbiz.de/10003716264
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On the macroeconomic implications of firm dynamics, banking, and reputation
Totzek, Alexander - 2011
Since the publication of Keynes' "General Theory of Employment, Interest, and Money" in 1936 many new ideas and …
Persistent link: https://www.econbiz.de/10008907265
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Composition of time-consistent dynamic monetary risk measures in discrete time
Cheridito, Patrick; Kupper, Michael - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 137-162
Persistent link: https://www.econbiz.de/10008908381