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- W2964759233 abstract "Control problems not admitting the dynamic programming principle are known as time-inconsistent. The game-theoretic approach is to interpret such problems as intrapersonal dynamic games and look for subgame perfect Nash equilibria. A fundamental result of time-inconsistent stochastic control is a verification theorem saying that solving the extended HJB system is a sufficient condition for equilibrium. We show that solving the extended HJB system is a necessary condition for equilibrium, under regularity assumptions. The controlled process is a general It^o diffusion." @default.
- W2964759233 created "2019-08-13" @default.
- W2964759233 creator A5082745569 @default.
- W2964759233 date "2019-09-01" @default.
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- W2964759233 title "A regular equilibrium solves the extended HJB system" @default.
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- W2964759233 doi "https://doi.org/10.1016/j.orl.2019.07.011" @default.
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