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Extended backward stochastic Volterra integral equations and their applications to time-Inconsistent stochastic recursive control problems
16 references·0 citing·34 second hop
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References

  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1990A General Stochastic Maximum Principle for Optimal Control Problems800 cited
  • 2017On time-inconsistent stochastic control in continuous time325 cited
  • 2008Investment and consumption without commitment285 cited
  • 2012Time-Inconsistent Stochastic Linear--Quadratic Control268 cited
  • 2017Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium147 cited
  • 2012Time-inconsistent optimal control problems and the equilibrium HJB equation145 cited
  • 2006Backward stochastic Volterra integral equations and some related problems125 cited
  • 2015Linear-quadratic optimal control problems for mean-field stochastic differential equations — time-consistent solutions122 cited
  • 2007Well-posedness and regularity of backward stochastic Volterra integral equations107 cited
  • 2002Adapted solution of a backward stochastic nonlinear Volterra integral equation92 cited
  • 2017Stochastic global maximum principle for optimization with recursive utilities78 cited
  • 2017

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Time-Inconsistent Recursive Stochastic Optimal Control Problems
72 cited
  • 2007Continuous-time dynamic risk measures by backward stochastic Volterra integral equations61 cited
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