A General Theory of Markovian Time Inconsistent Stochastic Control Problems ∗

  title={A General Theory of Markovian Time Inconsistent Stochastic Control Problems ∗},
  author={Tomas Bj{\"o}rk},
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
Highly Influential
This paper has highly influenced 28 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS
Highly Cited
This paper has 193 citations. REVIEW CITATIONS


Publications citing this paper.
Showing 1-10 of 56 extracted citations

A Characterization of Sub-game Perfect Equilibria for SDEs of Mean-Field Type

Dynamic Games and Applications • 2016
View 7 Excerpts
Highly Influenced

193 Citations

Citations per Year
Semantic Scholar estimates that this publication has 193 citations based on the available data.

See our FAQ for additional information.


Publications referenced by this paper.
Showing 1-10 of 13 references

Some solvable portfolio problems with quadratic and collective objectives

E. Kryger, M. Steffensen
Working paper http : //papers.ssrn.com/sol3/papers.cfm?abstract • 2010
View 2 Excerpts

Towards a general theory of good deal bounds

T. Björk, I. Slinko
Review of Finance • 2006
View 1 Excerpt

Dynamic choices of hyperbolic consumers

C. Harris, D. Laibson
Econometrica 69, • 2001
View 2 Excerpts

On the minimal martingale measure and the föllmerschweizer decomposition

M. Schweizer
Stochastic Analysis and it’s Applications • 1995
View 1 Excerpt

Consistent plans

S. Goldman
Review of Economic Studies • 1980
View 1 Excerpt