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A General Theory of Markovian Time Inconsistent Stochastic Control Problems · Study

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PreprintA General Theory of Markovian Time Inconsistent Stochastic Control Problems

Tomas Björk2010

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Preprintgreen2010

A General Theory of Markovian Time Inconsistent Stochastic Control Problems

Tomas Björk · Agatha Murgoci

343 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Game Theory and Applications Adaptive Dynamic Programming Control

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References

1955Myopia and Inconsistency in Dynamic Utility Maximization 1973Myopia and Inconsistency in Dynamic Utility Maximization 2010Dynamic Mean-Variance Asset Allocation 2001Dynamic Choices of Hyperbolic Consumers 2003Consumption-Savings Decisions with Quasi-Geometric Discounting

Cited by

2013Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations 2010A Maximum Principle for SDEs of Mean-Field Type 2017On time-inconsistent stochastic control in continuous time 2014A theory of Markovian time-inconsistent stochastic control in discrete time 2011Optimal time-consistent investment and reinsurance policies for mean-variance insurers 2023Recent advances in reinforcement learning in finance 2011Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model 2015Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps

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2017On time-inconsistent stochastic control in continuous timearticle · 5 shared references 2014A theory of Markovian time-inconsistent stochastic control in discrete timearticle · 5 shared references 2013Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversionarticle · 5 shared references 2015Time-consistent investment strategy under partial informationarticle · 5 shared references 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSIONarticle · 4 shared references 2005Global warming and hyperbolic discountingarticle · 4 shared references

Details

Year2010

Typepreprint

Published2010-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations343

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1694759

openalex_workW299346747

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