Time-Inconsistent Control Theory with Finance Applications

Agatha Murgoci, Mariana Khapko og Tomas Björk

Bog | Engelsk

Beskrivelse

This book is devoted to problems of stochastic control and stopping that are time inconsistent in the sense that they do not admit a Bellman optimality principle. These problems are cast in a game-theoretic framework, with the focus on subgame-perfect Nas…