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Time-Inconsistent Control Theory with Finance Applications (Springer Finance) free ebook download

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Mathematics

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Author(s):	Tomas Bjork

Date:	2021	Format:	7z	Language:	English	ISBN/ASIN:	303081842X
Pages:	343	OCR:		Quality:		ISBN13:
Uploader:	gestalt	Upload Date:	11/4/2021 11:02:14 PM

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This book is devoted to problems of stochastic control and stopping that are time inconsistent in the sense that they do not admit a Bellman optimality principle. These problems are cast in a game-theoretic framework, with the focus on subgame-perfect Nash equilibrium strategies. The general theory is illustrated with a number of finance applications.
In dynamic choice problems, time inconsistency is the rule rather than the exception. Indeed, as Robert H. Strotz pointed out in his seminal 1955 paper, relaxing the widely used ad hoc assumption of exponential discounting gives rise to time inconsistency. Other famous examples of time inconsistency include mean-variance portfolio choice and prospect theory in a dynamic context. For such models, the very concept of optimality becomes problematic, as the decision makers preferences change over time in a temporally inconsistent way. In this book, a time-inconsistent problem is viewed as a non-cooperative game between the agents current and future selves, with the objective of finding intrapersonal equilibria in the game-theoretic sense. A range of finance applications are provided, including problems with non-exponential discounting, mean-variance objective, time-inconsistent linear quadratic regulator, probability distortion, and market equilibrium with time-inconsistent preferences.
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3048395	Book	https://nitro.download/view/5CCC4FF71BA4...		0.00	gestalt

Tags: Applications Control Finance Springer Theory

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Time-Inconsistent Control Theory with Finance Applications (Springer Finance) free ebook download

Category: Mathematics

Description: Click to see full description

Category:
Mathematics