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- W3208506875 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 special cases, a mean-variance portfolio selection problem and a time-inconsistent problem under non-exponential discounting are discussed." @default.
- W3208506875 created "2021-11-08" @default.
- W3208506875 creator A5064107021 @default.
- W3208506875 date "2023-01-01" @default.
- W3208506875 modified "2023-10-01" @default.
- W3208506875 title "Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems" @default.
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- W3208506875 doi "https://doi.org/10.3934/mcrf.2021053" @default.
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