On time-inconsistent stochastic control in continuous time

Finance and Stochastics ◽

10.1007/s00780-017-0327-5 ◽

2017 ◽

Vol 21 (2) ◽

pp. 331-360 ◽

Author(s):

Tomas Björk ◽

Mariana Khapko ◽

Agatha Murgoci

Keyword(s):

Stochastic Control ◽

Continuous Time ◽

Time Inconsistent

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A Theory of Markovian Time Inconsistent Stochastic Control in Continuous Time

SSRN Electronic Journal ◽

10.2139/ssrn.2727480 ◽

2016 ◽

Author(s):

Tomas Bjork ◽

Mariana Khapko ◽

Agatha Murgoci

Keyword(s):

Stochastic Control ◽

Continuous Time ◽

Time Inconsistent

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Optimal equilibria for time‐inconsistent stopping problems in continuous time

Mathematical Finance ◽

10.1111/mafi.12229 ◽

2019 ◽

Vol 30 (3) ◽

pp. 1103-1134 ◽

Author(s):

Yu‐Jui Huang ◽

Zhou Zhou

Keyword(s):

Continuous Time ◽

Time Inconsistent

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Idempotent expansions for continuous-time stochastic control: compact control space

49th IEEE Conference on Decision and Control (CDC) ◽

10.1109/cdc.2010.5717129 ◽

2010 ◽

Author(s):

Hidehiro Kaise ◽

William M. McEneaney

Keyword(s):

Stochastic Control ◽

Continuous Time ◽

Control Space ◽

Continuous Time Stochastic Control

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Online Supplementary Material: On the Equilibrium Strategies for Time-Inconsistent Problems in Continuous Time

SSRN Electronic Journal ◽

10.2139/ssrn.3881455 ◽

2021 ◽

Author(s):

Xue Dong He ◽

Zhao Li Jiang

Keyword(s):

Continuous Time ◽

Equilibrium Strategies ◽

Online Supplementary Material ◽

Supplementary Material ◽

Time Inconsistent

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A new model of continuous-time Markov processes and impulse stochastic control

Proceedings of the 48h IEEE Conference on Decision and Control (CDC) held jointly with 2009 28th Chinese Control Conference ◽

10.1109/cdc.2009.5399775 ◽

2009 ◽

Author(s):

Xi-Ren Cao

Keyword(s):

Stochastic Control ◽

Markov Processes ◽

Continuous Time ◽

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Idempotent Expansions for Continuous-Time Stochastic Control

SIAM Journal on Control and Optimization ◽

10.1137/140971038 ◽

2016 ◽

Vol 54 (1) ◽

pp. 73-98 ◽

Author(s):

Hidehiro Kaise ◽

William M. McEneaney

Keyword(s):

Stochastic Control ◽

Continuous Time ◽

Continuous Time Stochastic Control

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Discrete Approximation of Continuous Time Stochastic Control Systems

SIAM Journal on Control and Optimization ◽

10.1137/0321002 ◽

1983 ◽

Vol 21 (1) ◽

pp. 17-40 ◽

Author(s):

Norbert Christopeit

Keyword(s):

Control Systems ◽

Stochastic Control ◽

Continuous Time ◽

Discrete Approximation ◽

Continuous Time Stochastic Control

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A stochastic control formulation of the continuous-time power system operation problem

2016 IEEE 16th International Conference on Environment and Electrical Engineering (EEEIC) ◽

10.1109/eeeic.2016.7555617 ◽

2016 ◽

Author(s):

Magnus Perninge ◽

Robert Eriksson

Keyword(s):

Power System ◽

Stochastic Control ◽

Continuous Time ◽

System Operation ◽

Power System Operation

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Numerical Methods for Stochastic Control Problems in Continuous Time

10.1007/978-1-4613-0007-6 ◽

2001 ◽

Author(s):

Harold J. Kushner ◽

Paul Dupuis

Keyword(s):

Numerical Methods ◽

Stochastic Control ◽

Continuous Time ◽

Control Problems ◽

Stochastic Control Problems

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Equilibrium Strategies in Continuous-Time Time-Inconsistent Problems

SSRN Electronic Journal ◽

10.2139/ssrn.3308274 ◽

2018 ◽

Author(s):

Xue Dong He ◽

Zhaoli Jiang

Keyword(s):

Continuous Time ◽

Equilibrium Strategies ◽

Time Inconsistent

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