Special Cases and Extensions

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

Chapter Chapter 16 in Time-Inconsistent Control Theory with Finance Applications, 2021, pp 163-170 from Springer

Abstract: Abstract Here we present a couple of important special cases and comment on possible extensions of the continuous-time results that were developed in the previous chapter. In particular, we show how the extended HJB system simplifies in the special case when we have time inconsistency entering the problem only through state-dependency or only through a nonlinear function of the expected value. Results are extended to allow for infinite horizon and point process dynamics. The chapter also establishes a connection between the original time-inconsistent problem and an equivalent time-consistent problem that yields the same solution.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-030-81843-2_16

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DOI: 10.1007/978-3-030-81843-2_16

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