Robust Time-Inconsistent Stochastic Control Problems

• Main Author: Pun, Chi Seng
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2018
• Subjects: Robustness; Stochastic Control
• Online Access: https://hdl.handle.net/10356/89029; http://hdl.handle.net/10220/44781
• Institution: Nanyang Technological University

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...