Extensions and Further Results

Tomas Bjork, Mariana Khapko () and Agatha Murgoci ()
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Mariana Khapko: University of Toronto
Agatha Murgoci: Ørsted

Chapter Chapter 6 in Time-Inconsistent Control Theory with Finance Applications, 2021, pp 57-70 from Springer

Abstract: Abstract In this chapter we provide some extensions of the basic theory. In particular, we allow for a more general term in the nonlinear G part of the objective functional, study the infinite-horizon case, and consider a generalized expected utility model. Furthermore, we discuss questions of existence and uniqueness, present a useful scaling result, and provide an equivalence result between time-inconsistent and time-consistent problems.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-030-81843-2_6

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DOI: 10.1007/978-3-030-81843-2_6

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