<Para ID="Par1">We develop a theory for a general class of discrete-time stochastic control problems that, in various ways, are time-inconsistent in the sense that they do not admit a Bellman optimality principle. We attack these problems by viewing them within a game theoretic framework, and we look for...</para>

An investor holding a stock needs to decide when to sell it over a given investment horizon. It is tempting to think that she should sell at the maximum price over the entire horizon, which is however impossible to achieve. A close yet realistic goal is to sell the stock at a time when the...

In this paper, we continue our study on a general time-inconsistent stochastic linear--quadratic (LQ) control problem originally formulated in [6]. We derive a necessary and sufficient condition for equilibrium controls via a flow of forward--backward stochastic differential equations. When the...

We use the portfolio selection model presented in He and Zhou [<italic>Manage. Sci.</italic>, 2011, <bold>57</bold>, 315-331] and the NYSE equity and US treasury bond returns for the period 1926-1990 to revisit Benartzi and Thaler's myopic loss aversion theory. Through an extensive empirical study, we find that in addition...

This paper concerns a class of similinear stochastic partial differential equations, of which the drift term is a second-order differential operator plus a nonlinearity, and the diffusion term is a first-order differential operator. When the nonlinearity is only continuous in the state, it is...

This paper investigates a mixed regular-singular stochastic control problem where the drift of the dynamics is quadratic in the regular control variable. More importantly, the regular control variable is constrained. The value function of the problem is derived in closed form via solving the...