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• W3048403746 abstract "This paper studies open-loop equilibriums for a general class of time-inconsistent stochastic control problems under jump-diffusion SDEs with deterministic coefficients. Inspired by the idea of Four-Step-Scheme for forward-backward stochastic differential equations with jumps (FBSDEJs, for short), we derive two systems of integro-partial differential equations (IPDEs, for short). Then, we rigorously prove a verification theorem which provides a sufficient condition for open-loop equilibrium strategies. As an illustration of the general theory, we discuss a mean-variance portfolio selection problem under a jump-diffusion model." @default.
• W3048403746 created "2020-08-18" @default.
• W3048403746 creator A5064107021 @default.
• W3048403746 date "2020-08-12" @default.
• W3048403746 modified "2023-09-27" @default.
• W3048403746 title "A PDE approach for open-loop equilibriums in time-inconsistent stochastic optimal control problems" @default.
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• W3048403746 hasPublicationYear "2020" @default.
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