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A deterministic linear quadratic time-inconsistent optimal control problem
1. | Department of Mathematics, University of Central Florida, Orlando, FL 32816 |
References:
[1] |
S. Basak and G. Chabakauri, Dynamic mean-variance asset allocation, Preprint, London Business School, 2008. |
[2] |
L. D. Berkovitz, "Optimal Control Theory," Applied Mathematical Sciences, Vol. 12, Springer-Verlag, New York-Heidelberg, 1974. |
[3] |
T. Björk and A. Murgoci, A general theory of Markovian time inconsistent stochasitc control problem,, working paper., ().
|
[4] |
E. V. Böhm-Bawerk, "The Positive Theory of Capital," Books for Libraries Press, Freeport, New York, 1891. |
[5] |
I. Ekeland and A. Lazrak, Being serious about non-commitment: subgame perfect equilibrium in continuous time, preprint, Univ. British Columbia, 2008. |
[6] |
I. Ekeland and T. Privu, Investment and consumption without commitment, preprint, Univ. British Columbia, 2007. |
[7] |
S. M. Goldman, Consistent plans, Review of Economic Studies, 47 (1980), 533-537.
doi: 10.2307/2297304. |
[8] |
S. R. Grenadier and N. Wang, Investment under uncertainty and time-inconsistent preferences,, preprint., ().
|
[9] |
P. J. Herings and K. I. M. Rohde, Time-inconsistent preferences in a general equilibriub model,, preprint., ().
|
[10] |
D. Hume, "A Treatise of Human Nature," First Edition, 1739; Reprint, Oxford Univ. Press, New York, 1978. |
[11] |
W. S. Jevons, "Theory of Political Economy," Mcmillan, London, 1871. |
[12] |
P. Krusell and A. A. Smith, Jr., Consumption and saving decisions with quasi-geometric discounting, Econometrica, 71 (2003), 366-375.
doi: 10.1111/1468-0262.00400. |
[13] |
D. Laibson, Golden eggs and hyperbolic discounting, Quarterly J. Econ., 112 (1997), 443-477.
doi: 10.1162/003355397555253. |
[14] |
A. Malthus, An essay on the principle of population, 1826, "The Works of Thomas Robert Malthus" (Eds. E. A. Wrigley and D. Souden), 2 and 3, W. Pickering, London, 1986. |
[15] |
J. Marin-Solano and J. Navas, Non-constant discounting in finite horizon: The free terminal time case, J. Economic Dynamics and Control, 33 (2009), 666-675.
doi: 10.1016/j.jedc.2008.08.008. |
[16] |
A. Marshall, "Principles of Economics," 1st ed., 1890; 8th ed., Macmillan, London, 1920. |
[17] |
M. Miller and M. Salmon, Dynamic games and the time inconsistency of optimal policy in open economics, The Economic Journal, 95 (1985), 124-137.
doi: 10.2307/2232876. |
[18] |
I. Palacios-Huerta, Time-inconsistent preferences in Adam Smith and Davis Hume, History of Political Economy, 35 (2003), 241-268.
doi: 10.1215/00182702-35-2-241. |
[19] |
V. Pareto, "Manuel d'économie Politique," Girard and Brieve, Paris, 1909. |
[20] |
B. Peleg and M. E. Yaari, On the existence of a consistent course of action when tastes are changing, Review of Economic Studies, 40 (1973), 391-401.
doi: 10.2307/2296458. |
[21] |
R. A. Pollak, Consistent planning, Review of Economic Studies, 35 (1968), 185-199.
doi: 10.2307/2296548. |
[22] |
A. Smith, "The Theory of Moral Sentiments," First Edition, 1759; Reprint, Oxford Univ. Press, 1976. |
[23] |
R. H. Strotz, Myopia and inconsistency in dynamic utility maximization, Review of Econ. Studies, 23 (1955), 165-180.
doi: 10.2307/2295722. |
[24] |
L. Tesfatsion, Time inconsistency of benevolent government economics, J. Public Economics, 31 (1986), 25-52.
doi: 10.1016/0047-2727(86)90070-8. |
[25] |
J. Yong, A deterministic time-inconsistent optimal control problem -- An essentially cooperative approach,, Acta Appl. Math. Sinica, ().
|
[26] |
J. Yong, and X. Y. Zhou, "Stochastic Controls: Hamiltonian Systems and HJB Equations," Applications of Mathematics (New York), 43, Springer-Verlag, New York, 1999. |
show all references
References:
[1] |
S. Basak and G. Chabakauri, Dynamic mean-variance asset allocation, Preprint, London Business School, 2008. |
[2] |
L. D. Berkovitz, "Optimal Control Theory," Applied Mathematical Sciences, Vol. 12, Springer-Verlag, New York-Heidelberg, 1974. |
[3] |
T. Björk and A. Murgoci, A general theory of Markovian time inconsistent stochasitc control problem,, working paper., ().
|
[4] |
E. V. Böhm-Bawerk, "The Positive Theory of Capital," Books for Libraries Press, Freeport, New York, 1891. |
[5] |
I. Ekeland and A. Lazrak, Being serious about non-commitment: subgame perfect equilibrium in continuous time, preprint, Univ. British Columbia, 2008. |
[6] |
I. Ekeland and T. Privu, Investment and consumption without commitment, preprint, Univ. British Columbia, 2007. |
[7] |
S. M. Goldman, Consistent plans, Review of Economic Studies, 47 (1980), 533-537.
doi: 10.2307/2297304. |
[8] |
S. R. Grenadier and N. Wang, Investment under uncertainty and time-inconsistent preferences,, preprint., ().
|
[9] |
P. J. Herings and K. I. M. Rohde, Time-inconsistent preferences in a general equilibriub model,, preprint., ().
|
[10] |
D. Hume, "A Treatise of Human Nature," First Edition, 1739; Reprint, Oxford Univ. Press, New York, 1978. |
[11] |
W. S. Jevons, "Theory of Political Economy," Mcmillan, London, 1871. |
[12] |
P. Krusell and A. A. Smith, Jr., Consumption and saving decisions with quasi-geometric discounting, Econometrica, 71 (2003), 366-375.
doi: 10.1111/1468-0262.00400. |
[13] |
D. Laibson, Golden eggs and hyperbolic discounting, Quarterly J. Econ., 112 (1997), 443-477.
doi: 10.1162/003355397555253. |
[14] |
A. Malthus, An essay on the principle of population, 1826, "The Works of Thomas Robert Malthus" (Eds. E. A. Wrigley and D. Souden), 2 and 3, W. Pickering, London, 1986. |
[15] |
J. Marin-Solano and J. Navas, Non-constant discounting in finite horizon: The free terminal time case, J. Economic Dynamics and Control, 33 (2009), 666-675.
doi: 10.1016/j.jedc.2008.08.008. |
[16] |
A. Marshall, "Principles of Economics," 1st ed., 1890; 8th ed., Macmillan, London, 1920. |
[17] |
M. Miller and M. Salmon, Dynamic games and the time inconsistency of optimal policy in open economics, The Economic Journal, 95 (1985), 124-137.
doi: 10.2307/2232876. |
[18] |
I. Palacios-Huerta, Time-inconsistent preferences in Adam Smith and Davis Hume, History of Political Economy, 35 (2003), 241-268.
doi: 10.1215/00182702-35-2-241. |
[19] |
V. Pareto, "Manuel d'économie Politique," Girard and Brieve, Paris, 1909. |
[20] |
B. Peleg and M. E. Yaari, On the existence of a consistent course of action when tastes are changing, Review of Economic Studies, 40 (1973), 391-401.
doi: 10.2307/2296458. |
[21] |
R. A. Pollak, Consistent planning, Review of Economic Studies, 35 (1968), 185-199.
doi: 10.2307/2296548. |
[22] |
A. Smith, "The Theory of Moral Sentiments," First Edition, 1759; Reprint, Oxford Univ. Press, 1976. |
[23] |
R. H. Strotz, Myopia and inconsistency in dynamic utility maximization, Review of Econ. Studies, 23 (1955), 165-180.
doi: 10.2307/2295722. |
[24] |
L. Tesfatsion, Time inconsistency of benevolent government economics, J. Public Economics, 31 (1986), 25-52.
doi: 10.1016/0047-2727(86)90070-8. |
[25] |
J. Yong, A deterministic time-inconsistent optimal control problem -- An essentially cooperative approach,, Acta Appl. Math. Sinica, ().
|
[26] |
J. Yong, and X. Y. Zhou, "Stochastic Controls: Hamiltonian Systems and HJB Equations," Applications of Mathematics (New York), 43, Springer-Verlag, New York, 1999. |
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