In this paper, which is a continuation of the discrete time paper, we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We study these problems within a game theoretic...

In this paper, which is a continuation of a previously published discrete time paper, we study a class of continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We study these problems within a...

This paper considers the non-zero-sum stochastic differential game problem between two ambiguity-averse insurers (AAIs) who encounter model uncertainty and seek the optimal investment and reinsurance decision under relative performance concerns. Each AAI invests in a risky asset and a risk-free...

In this paper, which is a continuation of a previous discrete time paper, we develop a theory for continuous time stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We study these problems within a game...

This paper establishes a general analytical framework for continuous-time stochastic control problems for an ambiguity-averse agent (AAA) with time-inconsistent preference, where the control problems do not satisfy Bellman's principle of optimality. The AAA is concerned about model uncertainty...