A General Theory of Markovian Time Inconsistent Stochastic Control Problems ∗

@inproceedings{Bjrk2010AGT,
  title={A General Theory of Markovian Time Inconsistent Stochastic Control Problems ∗},
  author={Tomas Bj{\"o}rk},
  year={2010}
}
We develop a theory for stochastic control problems which, in various ways, are time inconsistent in the sense that they do not admit a Bellman optimality principle. We attach these problems by viewing them within a game theoretic framework, and we look for Nash subgame perfect equilibrium points. For a general controlled Markov process and a fairly general objective functional we derive an extension of the standard Hamilton-Jacobi-Bellman equation, in the form of a system of non-linear… CONTINUE READING
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