Solutions to Equilibrium HJB Equations for Time-Inconsistent Deterministic Linear Quadratic Control: Characterization and Uniqueness

Yunfei Peng and Wei Wei

Papers from arXiv.org

Abstract: In this paper we study a class of HJB equations which solve for equilibria for general time-inconsistent deterministic linear quadratic control problems within the intra-personal game theoretic framework, where the inconsistency arises from non-exponential discount functions. We characterize the solutions to the HJB equations using a class of Riccati equations with integral terms. By studying the uniqueness of solutions to the integro-differential Riccati equations, we prove the uniqueness of solutions to the equilibrium HJB equations.

Date: 2023-08
New Economics Papers: this item is included in nep-gth
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