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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Détails bibliographiques
Auteur principal: Pun, Chi Seng
Autres auteurs: School of Physical and Mathematical Sciences
Format: Journal Article
Langue:English
Publié: 2018
Sujets:
Accès en ligne:https://hdl.handle.net/10356/89029
http://hdl.handle.net/10220/44781