| 書目名稱 | Time-Inconsistent Control Theory with Finance Applications |
| 編輯 | Tomas Bj?rk,Mariana Khapko,Agatha Murgoci |
| 視頻video | http://file.papertrans.cn/926/925546/925546.mp4 |
| 概述 | Offers a systematic treatment of time-inconsistent stochastic control and stopping problems.Provides a game-theoretic approach to time inconsistency.Treats both discrete and continuous time problems, |
| 叢書名稱 | Springer Finance |
| 圖書封面 |  |
| 描述 | This book is devoted to problems of stochastic control and stopping that are time inconsistent in the sense that they do not admit a Bellman optimality principle. These problems are cast in a game-theoretic framework, with the focus on subgame-perfect Nash equilibrium strategies. The general theory is illustrated with a number of finance applications..In dynamic choice problems, time inconsistency is the rule rather than the exception. Indeed, as Robert H. Strotz pointed out in his seminal 1955 paper, relaxing the widely used ad hoc assumption of exponential discounting gives rise to time inconsistency. Other famous examples of time inconsistency include mean-variance portfolio choice and prospect theory in a dynamic context. For such models, the very concept of optimality becomes problematic, as the decision maker’s preferences change over time in a temporally inconsistent way. In this book, a time-inconsistent problem is viewed as a non-cooperative game between the agent’s currentand future selves, with the objective of finding intrapersonal equilibria in the game-theoretic sense. A range of finance applications are provided, including problems with non-exponential discounting, m |
| 出版日期 | Book 2021 |
| 關(guān)鍵詞 | time-inconsistent control; intrapersonal equilibrium; dynamic programming; stochastic control; Bellman e |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-030-81843-2 |
| isbn_softcover | 978-3-030-81845-6 |
| isbn_ebook | 978-3-030-81843-2Series ISSN 1616-0533 Series E-ISSN 2195-0687 |
| issn_series | 1616-0533 |
| copyright | The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerl |
|Archiver|手機版|小黑屋|
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