Robust Time-Inconsistent Stochastic Control Problems
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 in th...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/89029 http://hdl.handle.net/10220/44781 |
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| Institution: | Nanyang Technological University |
| Language: | English |