Search Results - subject:"Time-inconsistent stochastic control"

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Time-inconsistent view on a dividend problem with penalty

Strini, Josef Anton; Thonhauser, Stefan - In: Scandinavian actuarial journal 2023 (2023) 8, pp. 811-833

Persistent link: https://www.econbiz.de/10014383974

A regular equilibrium solves the extended HJB system

Lindensjö, Kristoffer - In: Operations research letters 47 (2019) 5, pp. 427-432

Persistent link: https://www.econbiz.de/10012110607

A characterization of sub-game perfect equilibria for SDEs of mean-field type

Djehiche, Boualem; Huang, Minyi - In: Dynamic games and applications : DGA 6 (2016) 1, pp. 55-81

Persistent link: https://www.econbiz.de/10011589882

Linear–Quadratic Time-Inconsistent Mean Field Games

Bensoussan, A.; Sung, K.; Yam, S. - In: Dynamic Games and Applications 3 (2013) 4, pp. 537-552

In this paper, we study a class of time-inconsistent analogs (in the sense of Hu et al. (Time-inconsistent stochastic linear–quadratic control. Preprint, <CitationRef CitationID="CR13">2012</CitationRef>) which is originated from the mean-variance portfolio selection problem with state-dependent risk aversion in the context of financial...</citationref>

Persistent link: https://www.econbiz.de/10011001888

Linear-quadratic time-inconsistent mean field games

Bensoussan, Alain; Sung, K. C. P.; Yam, Sheung Chi Phillip - In: Dynamic games and applications : DGA 3 (2013) 4, pp. 537-552

Persistent link: https://www.econbiz.de/10010246344

Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework

He, Lin; Liang, Zongxia - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 643-649

mean–variance stochastic control into Markovian time inconsistent stochastic control, then establish a verification theorem …

Persistent link: https://www.econbiz.de/10011046641

Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework

He, Lin; Liang, Zongxia - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 643-649

Persistent link: https://www.econbiz.de/10010227913