A robust time‐inconsistent linear‐quadratic problem
Sign Up to like & getrecommendations! Published in 2021 at "International Journal of Robust and Nonlinear Control"
DOI: 10.1002/rnc.5426
Abstract: This paper is concerned with a deterministic time‐inconsistent linear‐quadratic optimal control with model uncertainty, where nonexponential time discounting appears in the objective functional. If the objective functional is viewed as an output/observation on the lifetime… read more here.
Keywords: time; inconsistent linear; time inconsistent; linear quadratic ... See more keywords
On time-inconsistent stochastic control in continuous time
Sign Up to like & getrecommendations! Published in 2017 at "Finance and Stochastics"
DOI: 10.1007/s00780-017-0327-5
Abstract: In this paper, which is a continuation of the discrete-time paper (Björk and Murgoci in Finance Stoch. 18:545–592, 2004), we study a class of continuous-time stochastic control problems which, in various ways, are time-inconsistent in… read more here.
Keywords: stochastic control; time; study; finance ... See more keywords
On time-inconsistent stopping problems and mixed strategy stopping times
Sign Up to like & getrecommendations! Published in 2020 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2019.08.010
Abstract: Abstract A game-theoretic framework for time-inconsistent stopping problems where the time-inconsistency is due to the consideration of a non-linear function of an expected reward is developed. A class of mixed strategy stopping times that allows… read more here.
Keywords: strategy stopping; inconsistent stopping; mixed strategy; time ... See more keywords
Time-inconsistent preferences, consumption, investment and life insurance decisions
Sign Up to like & getrecommendations! Published in 2019 at "Applied Economics Letters"
DOI: 10.1080/13504851.2019.1617395
Abstract: ABSTRACT In this paper, we study a consumption, investment and life insurance strategy model in which agent has time-inconsistent preferences. We numerically find that time-inconsistent preferences lead agent to more consumption–wealth ratio and less insurance–wealth… read more here.
Keywords: life insurance; time inconsistent; insurance; consumption ... See more keywords
Assessing the Cost of Time-Inconsistent Operation Policies in Hydrothermal Power Systems
Sign Up to like & getrecommendations! Published in 2017 at "IEEE Transactions on Power Systems"
DOI: 10.1109/tpwrs.2017.2672204
Abstract: The current state-of-the-art method used for medium- and long-term planning studies of hydrothermal power system operation is the stochastic dual dynamic programming (SDDP) algorithm. The computational savings provided by this method notwithstanding, it still relies… read more here.
Keywords: hydrothermal power; power systems; time; power ... See more keywords
Time-Inconsistent Optimal Quantity of Debt
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DOI: 10.20955/wp.2020.037
Abstract: Abstract A key property of the Aiyagari-type heterogeneous-agent models is that the equilibrium interest rate of public debt lies below the time discount rate. This fundamental property, however, implies that the Ramsey planner’s fiscal policy… read more here.
Keywords: debt; time; time inconsistent; optimal quantity ... See more keywords
Time-Inconsistent Bargaining and Cross-Commitments
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DOI: 10.3390/g14030038
Abstract: The paper studies bargaining games involving players with present-biased preferences. The paper shows that the relative timing of bargaining rewards and bargaining costs will determine whether the players’ present-bias will affect bargaining outcomes. In cases… read more here.
Keywords: time; inconsistent bargaining; bargaining; cross ... See more keywords