Robust Time-Inconsistent Stochastic Control Problems


This paper establishes a general analytical framework for continuous-time time-inconsistent stochastic control problems for ambiguity-averse agent, who is not confident in the reference model of the state process and... [ view full abstract ]


  1. Chi Seng Pun (Nanyang Technological University)

Topic Areas

Mean-Variance , Optimal Control , Robustness


TH-A-SY » Time Consistency and Inconsistency (11:30 - Thursday, 19th July, Synge)

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