A theory of Markovian time-inconsistent stochastic control in discrete time
Tomas Björk; Agatha Murgoci
| Year of publication: |
2014
|
|---|---|
| Authors: | Björk, Tomas ; Murgoci, Agatha |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 18.2014, 3, p. 545-592
|
| Subject: | Time consistency | Time inconsistency | Time-inconsistent control | Dynamic programming | Stochastic control | Bellman equation | Hyperbolic discounting | Mean-variance | Zeitkonsistenz | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Kontrolltheorie | Control theory | Intertemporale Entscheidung | Intertemporal choice | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection | Diskontierung | Discounting | Zeitökonomie | Economy of time | Mathematische Optimierung | Mathematical programming |