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A regular equilibrium solves the extended HJB system
Stockholm University, Faculty of Science, Department of Mathematics.
Number of Authors: 12019 (English)In: Operations Research Letters, ISSN 0167-6377, E-ISSN 1872-7468, Vol. 47, no 5, p. 427-432Article in journal (Refereed) Published
Abstract [en]

Control problems not admitting the dynamic programming principle are known as time-inconsistent. The game-theoretic approach is to interpret such problems as intrapersonal dynamic games and look for subgame perfect Nash equilibria. A fundamental result of time-inconsistent stochastic control is a verification theorem saying that solving the extended HJB system is a sufficient condition for equilibrium. We show that solving the extended HJB system is a necessary condition for equilibrium, under regularity assumptions. The controlled process is a general Ito diffusion. 

Place, publisher, year, edition, pages
2019. Vol. 47, no 5, p. 427-432
Keywords [en]
Dynamic inconsistency, Extended HJB system, Subgame perfect Nash equilibrium, Time-inconsistent preferences, Time-inconsistent stochastic control
National Category
Mathematics
Identifiers
URN: urn:nbn:se:su:diva-175884DOI: 10.1016/j.orl.2019.07.011ISI: 000488658100018OAI: oai:DiVA.org:su-175884DiVA, id: diva2:1374619
Available from: 2019-12-02 Created: 2019-12-02 Last updated: 2019-12-02Bibliographically approved

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